NAEEM SIDDIQI GLOBAL PRODUCT MANAGER, BANKING …...Intelligence Data Management – Data Models and Flows – DDS and Marts Risk Core – Engine and Interfaces Dashboard & Reporting

Company Confidential - For Internal Use Only

Copyright © 2012, SAS Insti tute Inc. Al l r ights reserved.

SAS® CREDIT SCORING FOR BANKING

NAEEM SIDDIQI

GLOBAL PRODUCT MANAGER, BANKING ANALYTICS SOLUTIONS



AGENDA

• SAS Banking Analytics Solutions Design

• SAS Credit Scoring

Where we were

Where we are going



COMMON

CUSTOMER

BUSINESS

CHALLENGES

• Data is siloed and unconnected – prevents holistic approach to strategy and actions.

• It takes too long for business users to get data for analytics and model development – often

dependant on IT, causes delays, long time to value.

• Developing scorecards takes too long, black box – programming based approaches.

• Producing audit reports is painful – manual process involving several systems and formats.

• If I add a new variable to my models, it adds 2 months to the process of implementation.

• Someone has to recode my models to implement them – produces errors in interpretation

and code, increases implementation time.

• Our monthly reports take 3 weeks to produce – lack of fresh intelligence.

• Analyzing performance takes too long because reports are in Excel, and I have to go to IT to

get data.

• Analytics infrastructure is complex to create and maintain. Analytics is only for the big banks.



SAS BANKING

ANALYTICS

SOLUTIONS

• Integrated data storage and management, analytics and reporting – low

implementation risk, full audit.

• Single, bank wide data repository covering all product areas.

• GUI based interface to create datasets, derive variables, create Basel II

pools and schedule scoring.

• Pre-configured and scheduled model validation, backtesting and business

reports.

• GUI based data mining tool for model/scorecard development and

benchmarking.



SAS BANKING

ANALYTICS

SOLUTIONS

SAS Banking Data Model

Banking Analytics

Architecture

Customer Analytics for

Banking

Credit Scoring for Banking

Risk Management for Banking



CREDIT RISK

MODELS

Data Extract

Modeling Lifecycle

Data Selection

Variable Selection

Model Development

Model Validation

Model Management

Model Deployment

Model Monitoring

Solution supports the entire model lifecycle as an end to end

process or as needed inserted in parts within the current

process workflow

MODELING LIFECYCLE PROCESS



SAS ENTERPRISE RISK MANAGEMENT

Data Integration Analytics Storage

SAS Business Analytics Framework Business

Intelligence

Data Management – Data Models and Flows – DDS and Marts

Risk Core – Engine and Interfaces

Dashboard & Reporting Portal

Market Risk

IR, EQ, FX Risk

Stress Testing

Liquidity Risk

Market VaR

Credit Risk

Potential Future Exposure

Risk Weighted Assets, Regulatory Capital

Stress Testing

Economic Capital

Enterprise GRC

Loss Data Management

Risk and Control Self Assessment

Control Testing

Key Risk Indicators

Economic & Regulatory Capital

ALM

Gap Analysis

Stress Testing and Simulation

Liquidity Risk

Net Interest Income

EVE at Risk

Credit Scoring Credit Model

Creation (PD, LGD, EAD, CCF)

Behavioral Scoring

Model Performance Monitoring

Model Management

Firm-wide Risk

Economic Capital

Stress Testing

Risk Adjusted Performance Mgmt

Correlated Aggregation

Other Analysis

Ad Hoc Analysis



SAS CREDIT

SCORING FOR

BANKING

• Fully Integrated

Full banking data model (DDS)

GUI dataset creation, scheduled scoring, pooling, aggregated variables

GUI scorecard and model development (EMCS)

470 customers in 52 countries

• Framework to enable a bank to

Build analytical models for

» Application and Behaviour score / PD; LGD, CCF

Score customers daily/monthly/quarterly/annually.

Define and monitor pools of credits for Basel II

Backtest models

Monitor the performance of models and model inputs (“validation”), and

portfolio, for both regulatory and business use. » Full Basel II (Working Paper 14 based) compliant back testing and model validation reports

SCOPE



SAS CREDIT

SCORING FOR

BANKING

VERSION 5.2 PROCESS FLOW

Application Processing System

Billing System

Other data sources

Data Quality

Validation

Merge/Match

CS Mart

Scoring

Info Map

Star Sch Modeling

Dataset

Scorecard Devp Data Mining

Backtesting Validation Champion/Challenger

Create datasets Manage projects

Writeback

Banking

Data Model



SAS CREDIT

SCORING FOR

BANKING

CSB3.2-4.3 CSB4.4 CSB5.1 CSB5.2

• None to Basic

ABT f/work

• some reports

• 9000+ vars

• RE/tested

• Deployment

wizard

• Better ABT

f/work

• Search vars

• Create vars

• 95% WP14

• pooling

• Segmentation

• Corp/SME

• Customer/facility

• Share work

• Save filters

• Backtesting

• Full ABT f/work

• Dynamic ABT

• In DB

• ABT from Star

• Performance

(reduce jobs,

efficiency)

Develop, deploy, monitor scorecards for Basel II

Performance, decisioning, flexibility

CSB5.3

• External

scorecards

• Auditability and

transparency

• Export to Word

template

• DABT

Exclusions /

inclusions

• Comments in

reports

• Multiple targets

EVOLUTION



SAS CREDIT

SCORING FOR

BANKING

• Real time and batch scoring

• Decisioning (score, policy rules, decision, price)

• Stress test model inputs and models

• Model management workflow

• Risk ratings template (SME/wholesale)

• Pro-forma Characteristic analysis

• Pooling based on user specs (LTV etc)

• Support survival analysis models for time to default, forecasting

• Forecast losses via vintage and roll rates

• Pricing optimisation: RORAC etc.

• Real Time Collections Intelligence

FUTURE DIRECTION


Copyright © 2012, SAS Insti tute Inc. Al l r ights reserved. www.SAS.com

THANK YOU

http://www.sas.com/

Documents

NAEEM SIDDIQI GLOBAL PRODUCT MANAGER, BANKING …...Intelligence Data Management – Data Models and Flows – DDS and Marts Risk Core – Engine and Interfaces Dashboard & Reporting