topic Re: Credit Risk Modeling on BASE SAS in SAS Risk Management

Credit Risk Modeling on BASE SAS

UPRETIGOPI — Wed, 31 Aug 2022 15:49:58 GMT

Hi dear all

I am new in this community. I am seeking some help on BASE SAS code development for credit risk modeling using logistic regression. If you any one of you can share your base sas codes for modeling PD / LGD/EAD on any fictitious credit data and the idea about Stress Testing, I would greatly appreciate that. You may have written papers also on development of credit scoring model using base SAS, that would be a great help too. Thanks

Chandra

Re: Credit Risk Modeling on BASE SAS

SASKiwi — Wed, 31 Aug 2022 21:22:22 GMT

Unfortunately code developed to do credit risk modelling is typically proprietary and confidential to the companies using it so it is unlikely anyone can share it with you. Also this code tends to be very customised so is unlikely to be very useful to you anyway. Every country has their own rules regarding the regulatory capital that is calculated using EADs, PDs and LGDs so you can't reuse calculations developed for another country's rules.

Also In my experience, to develop credit risk models you need experts with the appropriate statistical modelling knowledge and expertise. If you don't have enough modelling expertise in your team I would raise that issue with your management.

Re: Credit Risk Modeling on BASE SAS

PaigeMiller — Wed, 31 Aug 2022 21:31:15 GMT

Plenty of examples of using Logistic regression

https://documentation.sas.com/doc/en/pgmsascdc/9.4_3.4/statug/statug_logistic_examples.htm

None of them are credit risk modeling, but if you can understand these examples, the understanding also applies to credit risk modeling.

Re: Credit Risk Modeling on BASE SAS

Reeza — Wed, 31 Aug 2022 21:47:19 GMT

If you search LexJansen.com for credit risk modeling you'll find user written papers but no full case studies as data is typically proprietary.

Re: Credit Risk Modeling on BASE SAS

UPRETIGOPI — Wed, 31 Aug 2022 23:49:30 GMT

Thanks Reeza

I got few useful docs