SAS Stress Testing, IFRS 9 & Capital Forecasting is a practitioner's playbook for turning PD/LGD/EAD models into board-ready capital views. The book walks from a reproducible SAS environment and a realistic 50k synthetic portfolio through loss estimation, stress overlays, IRB-style capital (K, UL, RWA), and full ICAAP/CCAR projections—so readers can go from "model metrics" to decisions on limits, buffers, and pricing.
What makes this book different:
· Guaranteed-run code that is idempotent and safe to re-run (writes to a clean WORK library), plus copy-paste exhibits you can lift straight into documentation and decks.
· Business-first outputs: Board/ALCO tables for EL & RWA by segment, IRB capital rollups, and one-page pricing floors linking EL rate and capital charge.
· Forward-looking stress testing: Mild/Moderate/Severe scenarios, a 2008-style case study, and reverse-stress breakpoints that connect macro shocks to PD, LGD, and EAD.
· End-to-end governance: How to translate analytics into ICAAP narratives, CCAR-style quarter rolls, and audit-ready evidence with clean SAS listings.
Who this is for: risk modellers and validation teams, capital planners, IFRS 9/CECL practitioners, and managers who want transparent, reproducible SAS code that produces numbers boards and regulators trust.
How to use this book: start with the environment header and portfolio generator (Part 1), run the profiling snapshots, then build the EL/Capital exhibits before moving into scenario overlays and ICAAP/CCAR projections. Each chapter ends with copy-ready tables and explanations you can paste into your bank's documentation.
