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)

Credit risk key metrics

Let's review the key terms for credit risk.

Exposure at default

This is the amount that a bank is exposed to when a counterparty defaults. It could be equal to the outstanding amount on a fixed loan. In the case of limits, this needs to be assessed based on the drawn and undrawn components. Having a high exposure at default (EAD) doesn't necessarily mean that the bank would lose an equivalent amount. The amount lost could be less, equal, or even higher than the EAD. The loss given default calculation would help the bank assess the loss in case of a certain EAD. The regulators are concerned about the bank's overall EAD figure and also the EAD figures, to some specific sectors, which may...