Book Image

SAS for Finance

By : Harish Gulati
Book Image

SAS for Finance

By: Harish Gulati

Overview of this book

SAS is a groundbreaking tool for advanced predictive and statistical analytics used by top banks and financial corporations to establish insights from their financial data. SAS for Finance offers you the opportunity to leverage the power of SAS analytics in redefining your data. Packed with real-world examples from leading financial institutions, the author discusses statistical models using time series data to resolve business issues. This book shows you how to exploit the capabilities of this high-powered package to create clean, accurate financial models. You can easily assess the pros and cons of models to suit your unique business needs. By the end of this book, you will be able to leverage the true power of SAS to design and develop accurate analytical models to gain deeper insights into your financial data.
Table of Contents (9 chapters)

PD model build

While a chapter cannot do justice to the whole credit risk modeling process, we will try to incorporate multiple approaches to model building. Let's start with exploring our data for the mortgage book of a retail bank.

The concept of link, customer, and account is something that most individuals dealing with credit risk modeling will become acquainted with. These concepts can be named differently in organizations, but the relationship remains similar. Individual customers may come together to form a relationship. The variable representing such relationships has been called a link in Figure 3.1. Each customer is also expected to have various lending needs. In the case of mortgages, these lending needs may be mortgage terms across various years, varying interest rates, differing loan to values (LTVs), and so on. Each of these combinations of needs may exist as...