Sysware attends SUNZ 2015 Conference
Ian Munro, Sysware Consultant, how Kiwibank is using SAS to become the first NZ-owned Advanced Basel Accredited bank
At Sysware we were very pleased to see our own Ian Munro present the journey of how nearly three years ago Kiwibank started a multi-million dollar project to qualify as an Advanced Internal Ratings Bank (AIRB), under the Reserves Bank of New Zealand BS2B Capital Adequacy regulations – the first NZ bank to do this.
The prize a material improvement in measuring and managing credit risk and improving the lending process and determination of Kiwibank’s credit risk capital demand.Starting out with just one PC with SAS, three years later Kiwibank now has SAS 9.4 BI Server and Enterprise Miner Server available across the organisation. A SAS data mart was built to track all of the bank’s lending. Highly-sophisticated econometric and statistical risk models were developed to accurately measure credit risk.AIRB credit risk calculations and reporting is now being done by SAS in parallel with the bank’s official reporting. The results and a library of other process and modelling documentation have been sent to the Reserve Bank for their review. When the Reserve Bank approves accreditation the SAS solution will be the official source of all credit risk measurement and when combined with other components and processes will improve the bank’s ability to measure and manage risk.
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