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.
- 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
- 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