topic Re: How to create Basel II Report for PD and LGD in Statistical Procedures

How to create Basel II Report for PD and LGD

turcay — Tue, 13 Oct 2015 10:08:04 GMT

Hello,

I would like to know if the Basel II reports attached are available on SAS or not. Sometimes titles are different. I would like to know if there are reports with different names. If these reports don't exist in SAS, can you help me how to do it on SAS?

I have checked the link below.

http://support.sas.com/documentation/cdl/en/mdsug/65072/HTML/default/viewer.htm#n194xndt3b3y1pn1ufc0mqbsmht4.htm

- Confidence Levels for the Gini Coefficient and AUC

- Spiegelhalter Test

- Binomial Calibration Test

- Chi-square (or Hosmer-Lemeshow) Test

- PSI, CSI

- Conditional Entropy Ratio and Information Value, Mann Whitney - U*

- LGD:, “Expected Loss” Shortfall

- T Test

- Cohen’s d-Test

- ETLA

- Descriptive statistics for input variables

Thank you.

Re: How to create Basel II Report for PD and LGD

SASKiwi — Thu, 15 Oct 2015 08:04:55 GMT

I don't see any attachments and I may be able to help as I use SAS for Basel II at a bank.

Please provide more information. Are you trying to derive PD and LGD, validate them, or do credit risk calculations with them?

Re: How to create Basel II Report for PD and LGD

turcay — Tue, 03 Nov 2015 08:02:52 GMT

Hello SASKiwi,

Thank you for your interest.For instance how can i create following images on SAS. These are T-test and Cohens Test reports and i would like to ask how i can find Confidence Level(%95.0) on SAS which i can find on Excel by using Descriptive Statistics. I found all formulas which i wanted to find by using Proc Means except Confidence Level(%95.0). I couldn’t equalize it with UCLM and LCLM.

Re: How to create Basel II Report for PD and LGD

turcay — Thu, 05 Nov 2015 22:54:19 GMT

As far as i understand to create Ttest we need to use Proc Ttest procedure but i need to generate exactly the same output which i posted above. I tried the code as below.

proc ttest data=Rmsaslib.TtestCombine  sides=2 alpha=0.01 h0=0;
 	title "Two sample t-test example";
	class Formulas;
	var G1THK;
	ods output statistics = outputdf ; 
 ods output equality=outputeq;
 ods output TTESTS = PVAL;
 ods output ConfLimits = PVAL2;
run;

I investigate deeply the Cohens d Test and i didn't find. I guess SAS does not have any procedure related to Cohens d test report. I calculated the columns by writing SAS Code but as i said it before my real purpose is to create exactly the same output. Are there any easiest way to generate it.

proc sql;
Create table CohenMerge as
select *
,SQRT(sum(SSDF1,SSDF2)/sum(countBacktest,CountTahminUretim)) as S
,((MeanTahminT-MeanTahminB)/calculated S) as Omega
,ABS(calculated omega) AS AbsOmega
,SQRT(((CountTahminUretim+countBacktest)/(CountTahminUretim*countBacktest))+((calculated Omega)**2/(2*(CountTahminUretim+countBacktest)))) as Stddev
,(calculated omega)-1.96*SQRT(calculated Stddev) as ConfInf95G1THK
,(calculated omega)+1.96*SQRT(calculated Stddev) as ConfInf95G2THK
from SumSDFG1Table T1
Left Join SumSDFG2Table T2
on T2.obs=T1.obs;
quit;

Lastly, Did somebody understand my Confidence Level(%95.0) ?

Thank you.