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)

Business problem

A brokerage firm has just been acquired by a large fund manager who wanted access to the client base of the firm. The purchase of the brokerage firm was done after due diligence. However, before reaching out to the newly acquired client base the fund manager wanted to analyze the client database in detail. The aim of the analysis was to identify the clients who met the following criteria:

  • Have been with the firm for a long time
  • Are probably going to stay for a long time
  • Are at risk of churn
  • Continue to have assets under management (AUM) with the brokerage, and the reasons for this

The fund-managers team decided to use survival analysis and ended up building a non-parametric, parametric, and a semi-parametric model to try and provide answers. Let's look into each of the procedures and their output. The analysis was broken down into the following steps:

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