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)

Scoring based on PROC REG

Once we have built the regression model, we need to generate scores for a holdout sample. The holdout sample contains one month of observed data. At times, when building the model, we over fit the data. It is always a good idea to have a holdout sample on which the model can be fitted. There isn't anything better than using the observed values to see how well the predictions were made. The holdout sample shouldn't be too short or too future looking when compared to what has been built into the model.

We cannot expect the model that we have built for daily stock prices using almost three years of data to help us predict three years ahead. Also, using our model to predict just one day ahead and using that as a holdout sample would be too lenient on the model, and would not check for its practical use with a decent data size.

We will write the...