topic Re: Obligator level PD calculation in New SAS User

Obligor level PD calculation

Arjayita — Fri, 10 May 2024 14:13:06 GMT

Hello all,

I am very new to SAS. I can interpret a few things in SAS but when it comes to writing a code I am completely lost.

data dormant_pca_cc;
set dev.fcs_jun19_dorm_pca_cc_build;

Above is my dataset info. Attached is the file containing the final variables(along with variable description) which should be considered for calculating obligator level score/ PD.

The dependent variable is: FCS_bad_9m_Jun19

Can anyone help me writing a code to calculate obligator level PD in SAS?

Many thanks,
A

Re: Obligator level PD calculation

PaigeMiller — Fri, 10 May 2024 13:10:32 GMT

I am sad to tell you that the calculation of PD is very dependent on your situation and data and assumptions that you make. There is no one general formula that can be applied to a data set to compute PD. Where I work, the PD calculations are different for mortgage loans and auto loans, and so on; other banks probably do it differently than we do.

Your question about how to calculate PD is best answered within your company or university. We can help with the SAS once the method of calculating PD is determined, but I doubt someone here can determine how your organization should calculate PD.

On a side note, most people here refuse to (or are not allowed to) download Excel files. So I have not looked at the data in your Excel file. Best to provide a portion of your data as text, as working SAS data step code (examples and instructions) included in your message by pasting it into the window that appears when you click on the little running man icon, but I don't see a need for you to do that right now as determining the method of calculating PD is the first thing you need to do.

Re: Obligator level PD calculation

Arjayita — Fri, 10 May 2024 13:13:30 GMT

Thank you for getting back. Appreciate your input. I will check on this and get back here 🙂