Working with the Economics Technology Solutions division in Research and Development at SAS. Interfacing the Financial Engineering Associates (FEA) derivative pricing functions with SAS Risk Dimensions.
Narrative: Some clients who use Risk Dimensions to do their risk analyses also use the FEA functions to value their derivative positions in their investment portfolio. From my familiarity with these functions, I was able to provide assistance to some of our consultants who work with these clients by updating and educating them on the implementation procedures involved with these functions so that they were able to provide more informed advice to our clients. I also documented these procedures and posted them on the SAS internal web to benefit future needs.
Credit Risk Management Solutions (CRM) is a SAS product that uses SAS Risk Dimensions to provide companies such as banks and financial institutions with a means of meeting regulatory standards outlined in the Basel Accord document.
Computing background is a must, such as Matlab or some other programming ability. Stochastic and econometric modeling courses have been necessary for understanding of the models and for simulating processes based on them. Option valuation has also proved necessary.
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Created/revised 22 October, 2006