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SAS Risk and Quantitative Analysis from SAS
Delivers a comprehensive platform for quantitative research and risk management, supporting model development, scenario analysis, stress testing, and integration with regulatory reporting.
Product analysis by function
Quantitative Analysis Tools for Investment Research & Analysis
Software for statistical analysis, econometric modeling, and quantitative research to identify patterns, correlations, and potential investment opportunities based on historical data and mathematical models.
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Data Integration & Management
(9 Yes /9 Known /10 Possible features)
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Multi-source Data Import Ability to import data from various internal and external sources including APIs, CSVs, Excel, and databases. |
SAS supports extensive data import capabilities through APIs, files (Excel/CSV), and databases, as described in documentation and integration guides. | |
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Real-time Data Feeds Support for continuous ingestion of live market and financial data. |
SAS is designed to process real-time feeds, especially for risk analytics, as per platform documentation. | |
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Historical Data Storage Capacity to store and retrieve large volumes of historical data for backtesting and analysis. |
No information available | |
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Data Cleansing Tools Tools for removing duplicates, handling missing values, and normalizing data formats. |
SAS provides comprehensive data cleansing and data quality management tools. | |
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Metadata Management Ability to manage data dictionaries and ensure context/lineage of datasets. |
SAS Data Management includes metadata management for data lineage and dictionaries. | |
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Automated Data Transformation Automated processes for adjusting or standardizing data before use in models. |
Automated ETL and transformation tools are core to the SAS platform. | |
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Data Security & Access Controls Capabilities to restrict and monitor user access to sensitive or proprietary datasets. |
SAS offers granular data security & access control features. | |
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Cloud Storage Compatibility Support for major cloud platforms for data storage and compute. |
SAS Risk and Quantitative Analysis can be deployed on Azure, AWS, and is cloud compatible. | |
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Data Audit Trails Track and record changes and usage of datasets for compliance and transparency. |
Includes capability for data audit trails for compliance. | |
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Automated Data Refresh Scheduling and automation of regular data updates from sources. |
Refresh schedules and automated ingestions are supported based on documentation. |
Statistical & Quantitative Analysis
(10 Yes /10 Known /10 Possible features)
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Descriptive Statistics Generate measures such as mean, median, standard deviation, skewness, and kurtosis across datasets. |
SAS provides statistical summaries including descriptive statistics. | |
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Correlation Analysis Assess and visualize relationships between different variables or assets. |
Correlation matrices and visual analysis are part of quantitative modules. | |
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Regression Modeling Build and analyze linear and nonlinear regression models, including multi-factor models. |
SAS enables linear, non-linear, and multi-factor regression modeling. | |
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Time Series Analysis Conduct ARIMA, GARCH, and other time-series forecasting methods. |
Time series analytics including ARIMA and GARCH are supported. | |
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Hypothesis Testing Built-in tools for t-tests, chi-square tests, ANOVA, and similar statistical tests. |
T-tests, ANOVA, and other inferential statistics tools available. | |
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Factor Analysis Evaluate and decompose financial returns by factors such as value, momentum, or size. |
Factor models, including those relevant to finance, are present. | |
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Clustering & Classification Support for machine learning clustering/classification (e.g., k-means, decision trees). |
Machine learning modules support clustering and classification. | |
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Principal Component Analysis (PCA) Dimensionality reduction and risk analysis via PCA. |
PCA for risk and dimension reduction is available. | |
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Monte Carlo Simulation Run Monte Carlo simulations for portfolio risk and scenario analysis. |
Monte Carlo simulation tools are explicitly referenced in risk modeling documentation. | |
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Custom Statistical Scripting Support for integrating custom statistical scripts (Python, R, etc). |
Custom scripts (Python, R) can be integrated into SAS flows. |
Econometric Modeling
(10 Yes /10 Known /10 Possible features)
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Panel Data Analysis Support for econometric techniques using cross-sectional/time-series panel data. |
SAS/ETS provides for panel data/econometric analysis. | |
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Cointegration Testing Check for long-term equilibrium relationships between asset prices. |
Cointegration and related econometric tests are supported. | |
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Error Correction Models (ECM) Implement and estimate ECMs to measure speed of adjustment to equilibrium. |
Error correction modelling available in econometric toolkit. | |
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Instrumental Variables Estimation Handle endogeneity in regression via instrumental variable methods. |
Instrumental variable estimation is documented as a supported feature. | |
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Generalized Method of Moments (GMM) Implement and solve complex GMM models for efficiency. |
GMM and advanced econometric estimation methods included. | |
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ARCH/GARCH Modeling Model time-varying volatility in financial series. |
GARCH and related volatility models are in time series suite. | |
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Vector Autoregression (VAR) Multi-variable prediction and shock analysis. |
VAR functionality is available within SAS/ETS. | |
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Structural Equation Modeling (SEM) Ability to estimate multiple and interrelated dependency relationships. |
Structural equation modeling supported in SAS/STAT. | |
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Auto Model Specification Selection Automated selection of optimal statistical or econometric model structures. |
Model selection routines (automated) are present in modeling tools. | |
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Macroeconomic Scenario Generation Simulate macroeconomic environments for stress testing portfolios. |
Supports macroeconomic stress testing and simulation for regulatory and risk analysis. |
Portfolio Construction & Optimization
(10 Yes /10 Known /10 Possible features)
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Mean-Variance Optimization Classical Markowitz portfolio optimization. |
Markowitz and similar optimization methods included in portfolio toolkit. | |
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Black-Litterman Model Support Support for running Black-Litterman blended optimization. |
Black-Litterman model support is part of advanced portfolio optimization. | |
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Risk Budgeting Allocate capital based on asset/strategy risk contributions. |
Risk contribution and budgeting analytics are included. | |
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Custom Constraint Handling Flexible constraint definitions for liquidity, sector, geography, and other rules. |
Portfolio construction tools allow custom constraints. | |
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Transaction Cost Modeling Estimate and incorporate transaction costs into optimization. |
Transaction cost estimation is available for optimization routines. | |
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Tax-aware Optimization Include the impact of different tax treatments in portfolio decision making. |
Tax-aware optimization supported in advanced allocation tools. | |
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Scenario Analysis Analyze portfolio responses to hypothetical or user-defined scenarios. |
Scenario analysis is a core risk and portfolio feature. | |
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Backtesting Evaluate portfolio strategies against historical data to assess performance. |
Backtesting tools are available for historical portfolio testing. | |
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Multi-period Optimization Optimize portfolios through multiple rebalancing periods. |
Multi-period optimization, such as for rebalancing, supported. | |
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ESG/Sustainability Integration Support for optimizing portfolios with ESG or sustainable investment constraints. |
ESG screening and sustainable investment constraints are supported. |
Risk Measurement & Management
(10 Yes /10 Known /10 Possible features)
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Value at Risk (VaR) Calculation Calculate portfolio or asset VaR using various methods (historical, parametric, Monte Carlo). |
VaR calculations (parametric, historical, MC) are supported in SAS risk engines. | |
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Conditional VaR (CVaR) Support for tail risk calculations using CVaR. |
CVaR-tail risk modeling available within risk modules. | |
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Stress Testing Test performance against extreme but plausible adverse market scenarios. |
Stress testing, including regulatory-driven, is well-documented for SAS. | |
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Sensitivity Analysis Analyze the impact of changes in risk factors (e.g., interest rates, spreads). |
Sensitivity analysis tools available for various risk factors. | |
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Exposure Analysis Detailed views on exposures by asset class, region, sector, and risk factor. |
Exposure analysis functionality included in platform. | |
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Liquidity Risk Models Assess portfolio vulnerability to liquidity constraints. |
Liquidity risk modeling part of SAS's enterprise risk toolkit. | |
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Factor Risk Decomposition Break down portfolio risk by systematic and idiosyncratic factors. |
Factor risk decomposition analytics available. | |
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Automated Alerts Configurable risk alerts on breaches of thresholds or limits. |
SAS provides configurable risk alerts and notifications. | |
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Credit Risk Assessment Model and evaluate credit risk exposure within portfolios. |
Credit risk modeling is a core module of the SAS suite. | |
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Integrated Risk Dashboard Visual summary of all risk measurements for quick decision making. |
Centralized risk dashboards are provided for at-a-glance risk management. |
Performance Measurement & Attribution
(0 Yes /0 Known /10 Possible features)
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Time-weighted & Money-weighted Returns Generate both TWR and IRR-style returns for portfolios and benchmarks. |
. | No information available |
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Multi-level Performance Attribution Decompose contributions to return by asset, sector, region, or factor. |
. | No information available |
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Custom Benchmark Comparison Measure performance relative to user-defined benchmarks. |
. | No information available |
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Style Analysis Quantitatively analyze styles (growth/value, small/large-cap, etc.). |
. | No information available |
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Risk-adjusted Performance Metrics Automatically calculate Sharpe, Sortino, Information Ratio, Alpha, Beta, etc. |
. | No information available |
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Attribution by Decision Layer Segment attribution to allocation, selection, timing, and interaction effects. |
. | No information available |
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Custom Time Period Analysis Flexible analysis periods (monthly, quarterly, YTD, custom date ranges). |
. | No information available |
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Peer Group Comparison Analyze performance versus peer group portfolios or funds. |
. | No information available |
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Return Decomposition Visualization Graphical breakdown of absolute and relative performance drivers. |
. | No information available |
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Attribution Report Generation Exportable reports with detailed attribution analyses. |
. | No information available |
Visualization & Reporting
(0 Yes /0 Known /10 Possible features)
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Customizable Dashboards User-defined dashboards for quantitative analytics and monitoring. |
. | No information available |
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Interactive Charting Dynamic charts (line, bar, scatter, heatmap, etc.) allowing deep data exploration. |
. | No information available |
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Scenario & What-if Visualization On-the-fly graphical analysis of potential investment scenarios. |
. | No information available |
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Automated Report Scheduling Schedule regular, automated delivery of reports to stakeholders. |
. | No information available |
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Export Formats Support for exporting reports/visualizations in PDF, Excel, PowerPoint, HTML, image formats. |
. | No information available |
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Custom Template Builder Branding and customization options for client-ready reports. |
. | No information available |
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Annotation Tools Mark up charts and reports with comments and visual cues. |
. | No information available |
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Drill-down Capabilities Detailed exploration from high-level dashboards to granular data points. |
. | No information available |
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Report Access Controls Permissions and restrictions for report viewers. |
. | No information available |
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Real-time Visualization Updates Automatic refresh of visuals with underlying data changes. |
. | No information available |
Automation & Workflow
(0 Yes /0 Known /10 Possible features)
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Workflow Orchestration Design, schedule and automate common quantitative analysis processes. |
. | No information available |
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Event-driven Triggers Ability to initiate tasks or rerun analyses based on market or data events. |
. | No information available |
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Batch Processing Support for high-volume batch analysis jobs. |
. | No information available |
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Version Control Integration Integration with source control systems for managing code and model versions. |
. | No information available |
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Concurrent User Support Number of users who can access and operate the platform simultaneously. |
. | No information available |
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Collaboration Tools Features for discussion threads, shared documents and commentaries. |
. | No information available |
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Automated Notifications Alert users to workflow status, errors, or results. |
. | No information available |
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Role-based Task Assignment Assign steps in analysis workflows to specific users or teams. |
. | No information available |
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API-based Task Automation Automate analysis tasks via API calls. |
. | No information available |
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Audit Logging Comprehensive tracking of workflow executions. |
. | No information available |
Integration & Extensibility
(0 Yes /0 Known /10 Possible features)
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API Support Comprehensive APIs for importing/exporting data and calling analytical routines. |
. | No information available |
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Database Connectivity Native connectors for common relational, time-series, and NoSQL databases. |
. | No information available |
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Programming Language Support Integration with languages such as Python, R, MATLAB, C++, etc. |
. | No information available |
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Plug-in/Extension Framework Support for 3rd-party and custom plug-ins to extend functionality. |
. | No information available |
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Cloud & On-premise Deployment Ability to deploy in cloud, on-site, or hybrid environments. |
. | No information available |
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Excel Integration Ability to read/write from Excel and embed live formula links. |
. | No information available |
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Single Sign-On (SSO) Authentication integration with enterprise identity providers. |
. | No information available |
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Mobile Access Mobile app or responsive web UI support. |
. | No information available |
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Data Vendor Feeds Integration Direct links to Bloomberg, Refinitiv, FactSet, etc. |
. | No information available |
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Custom API Endpoints User-defined endpoints for integration with internal systems. |
. | No information available |
Speed, Scalability & Performance
(0 Yes /0 Known /10 Possible features)
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Computation Speed Performance of core analytics and model calculations. |
. | No information available |
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Concurrent Model Runs How many parallel model runs the system can support. |
. | No information available |
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Real-time Analytics Support for real-time or near real-time processing and output. |
. | No information available |
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Scalable Compute Architecture Ability to scale up/down resources as data/model size grows. |
. | No information available |
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Distributed Computing Leverage distributed frameworks to accelerate analysis. |
. | No information available |
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Load Balancing Automatically distribute analysis tasks for optimal performance. |
. | No information available |
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Resource Usage Monitoring Monitor and report system CPU, memory, and storage consumption. |
. | No information available |
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High-availability (HA) Support Built-in redundancy or failover to minimize downtime. |
. | No information available |
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Job Queue Management Efficiently manage and prioritize multiple analysis jobs. |
. | No information available |
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Latency Metrics Dashboard Visual and numeric display of computational response times. |
. | No information available |
Security & Compliance
(0 Yes /0 Known /10 Possible features)
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Data Encryption (At Rest/In Transit) Protects sensitive data via encryption during storage and network transfer. |
. | No information available |
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User Authentication & Authorization Granular user permissions, authentication options, and MFA support. |
. | No information available |
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Audit Trails & Logging Comprehensive event and access logging for auditing and compliance. |
. | No information available |
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Regulatory Compliance Modules Support for MiFID II, AIFMD, SEC, GDPR, and other regulations. |
. | No information available |
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Data Retention Policy Tools Automate and implement policies for data archiving and removal. |
. | No information available |
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Vulnerability Management Regular updates for system vulnerabilities and compliance. |
. | No information available |
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Third-party Security Certifications SOC 2, ISO/IEC 27001, and other certifications. |
. | No information available |
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Secure API Gateways Ensure API connections are secure and monitored. |
. | No information available |
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User Activity Monitoring Real-time and historical monitoring of user activity for anomalies. |
. | No information available |
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Incident Response Procedures Documented protocols and in-system playbooks for responding to breaches. |
. | No information available |
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