topic Re: credit risk modelling - EAD Model in SAS Risk Management

credit risk modelling - EAD Model

Skb19121985 — Wed, 28 Jun 2017 00:04:54 GMT

Could anyone help me with:

1) Conceptualization of EAD Modeling methodology using SAS Code

2) Data Preparation for the purpose of building EAD Model

3) SAS Code for EAD Model development

Re: credit risk modelling - EAD Model

SASKiwi — Fri, 30 Jun 2017 00:12:05 GMT

You may find my response to a similar query helpful:

https://communities.sas.com/t5/SAS-Risk-Management/Formulas-for-Basel-II-Capital-Requirement/m-p/256004#M45

In my experience EAD isn't usually modelled but PD and LGD is - see my comments on EAD in the link.

Re: credit risk modelling - EAD Model

Skb19121985 — Sun, 02 Jul 2017 10:09:06 GMT

Hi Sir

Thanks for your reply.

Actually , it is not EAD which is directly modelled, but CCF (Credit conversion factor), which in turn could be used to predict EAD.

I have found a PDF at the link : https://www.sas.com/store/books/categories/usage-and-reference/developing-credit-risk-models-using-sas-enterprise-miner-and-sas-stat-theory-and-applications/prodBK_66220_en.html

I have this PDF but can not attach it in this post due to large size. If you refer to Page 87 to 107, you will come to know that EAD model could be developed.

You can read about them at : https://www.researchgate.net/publication/295161153_Exposure_at_default_models_with_and_without_the_credit_conversion_factor

Actually, I followed this, but could not understand it thoroughly mainly because it is in SAS Enterprise Miner.

Can we replicate the process in SAS EG ?

Re: credit risk modelling - EAD Model

raysubhashish — Wed, 14 Feb 2018 20:27:19 GMT

Hi,

Please share your findings/progress on the methodology for modeling CCF.

Thanks!!