High-Performance Model Management

The Client

Banking Institution

The Challenge

The client required a high-performance model management and execution platform in order to run key Loss Forecasting models in preparation for their CCAR (Comprehensive Capital Analysis & Review) submission to the Fed. The client was unable to execute several of their advanced Forecasting models do to performance issues.

The Solution

  • Implemented Decision Analyzer on HANA —  a model management and execution platform that allows the execution of advanced predictive models against multiple economic scenarios
  • Implemented a high-performance Markov Chain Monte Carlo simulation based auto loan model utilizing Decision Analyzer platform on HANA
  • Implemented a central model management environment to manage CCAR models
  • Implemented advanced visualization and reporting environment utilizing HANA and Explorer

Benefits/Outcomes

  • Optimized a Markov Chain Monte Carlo simulation
  • Addressed performance problems and demonstrated improvements of over 500x on model execution compared to traditional statistical tools implementation
  • Instituted model management and repository for better regulatory controls