Simulating Portfolio Growth Andrew J. Dyck

SAS User Conference Regina, SK May 15th, 2013

About myself

• Economist

• Portfolio Analyst (FCC)

• Economic Capital modeler

Three highlights of this talk

1. Use MACRO programming language to document your work

2. Use MACRO programming language to split large tasks into manageable chunks

3. DATA step and PROC SQL are complimentary

….First a little background…

Economic Capital

How did this happen?!?!?!

A “what if?” view of the portfolio

• “What if” Grains share of the portfolio were to grow quicker than others?

• “What if” Beef share of the portfolio were to grow slower than others?

Four views of the future

Grain, 40%

Dairy, 20%

Beef, 20%

Vegetables, 20%

Scenario 1 Grain, 25%

Dairy, 40%

Beef, 15%

Vegetables, 20%

Scneario 2

Grain, 30%

Dairy, 30%

Beef, 30%

Vegetables, 10%

Scenario 3

Grain, 50%

Dairy, 10%

Beef, 25%

Vegetables, 15%

Scenario 4

Makes sense.

FCC’s current portfolio distribution

Grain, 25%

Dairy, 25% Beef, 25%

Vegetables, 25%

Business As Usual

Why bother with macros for small tasks?

• Reduce “fat-finger” errors • Documentation and reproducibility

Now to actually simulate portfolio growth

• Assumptions:

• All current customers will remain in the portfolio – Strong assumption, but simplifying

• Risk, mean loan size, etc. of current portfolio is the same as new customers enter the portfolio. – Other tools are better suited to this task

• Target portfolio size is determined externally

%simulate_expanded_portfolio()?

Three takeaways

1. Use MACRO programming language to document your work

2. Use MACRO programming language to split large tasks into manageable chunks

3. DATA step and PROC SQL are complimentary

And one last thing….

Thank you

andrew.dyck@fcc-fac.ca