Arjayita Tracker

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 🙂

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: Error message

Arjayita — Sun, 28 Apr 2024 10:54:42 GMT

Thanks. I have changed the code and ran it. No error now. I wish you have a lovely Sunday ahead 🙂

Error message

Arjayita — Sun, 28 Apr 2024 10:35:14 GMT

/*Model 1*/

Proc logistic data= dormant_pca_cc;
class BU_419_DQ E1_B_07;
model FCS_bad_9m_Jun19 =
BU_419_DQ 
BU_26_AB_NUM 
BU_345_HN_NUM 
RR_CHR_105 
BU_162_GG_NUM 
RR_CHR_169 
BU_799_TEB_NUM 
RR_CHR_111
BU_301_PL_NUM 
BU_1552_SHC_NUM
BU_1577_RIC_NUM
RR_CHR_122
E1_B_07
bu_670_uz_num;
ods output GlobalTests = Globaltests_full;
run; 

data _null_;
set globaltests_full;
if test = "Likelihood Ratio" then do;
call symput ("ChiSq_full", ChiSq);
call symput ("DF_full", DF);
END;
RUN;


/*Model 2*/

Proc logistic data= dormant_pca_cc2;
class BU_419_DQ E1_B_07;
model FCS_bad_9m_Jun19 =
BU_419_DQ 
BU_26_AB_NUM 
BU_345_HN_NUM 
RR_CHR_105 
BU_162_GG_NUM 
RR_CHR_169 
BU_799_TEB_NUM 
RR_CHR_111
BU_301_PL_NUM 
BU_1552_SHC_NUM
BU_1577_RIC_NUM
RR_CHR_122
E1_B_07;
ods output GlobalTests = Globaltests_reduced;
run; 

data _null_;
set globaltests_reduced;
if test = "Likelihood Ratio" then do;
call symput ("ChiSq_reduced", ChiSq);
call symput ("DF_reduced", DF);
END;
RUN;

data = LRT_result;
LR =(&ChiSq_full - &ChiSq_reduced);
DF = (&DF_full - &DF_reduced);
p=1 - probchi(chiSq,DF);
RUN;

This is a code to check the change in likelihood ratio. I am getting the below error:

1                                                          The SAS System                               10:46 Sunday, April 28, 2024

1          ;*';*";*/;quit;run;
2          OPTIONS PAGENO=MIN;
3          %LET _CLIENTTASKLABEL='Test2';
4          %LET _CLIENTPROCESSFLOWNAME='Model Macro';
5          %LET _CLIENTPROJECTPATH='C:\Users\8522019\OneDrive - Lloyds Banking Group\Desktop\Likelihood test1.egp';
6          %LET _CLIENTPROJECTPATHHOST='MMD014713504257';
7          %LET _CLIENTPROJECTNAME='Likelihood test1.egp';
8          %LET _SASPROGRAMFILE='';
9          %LET _SASPROGRAMFILEHOST='';
10         
11         ODS _ALL_ CLOSE;
12         OPTIONS DEV=SVG;
13         GOPTIONS XPIXELS=0 YPIXELS=0;
14         %macro HTML5AccessibleGraphSupported;
15             %if %_SAS_VERCOMP_FV(9,4,4, 0,0,0) >= 0 %then ACCESSIBLE_GRAPH;
16         %mend;
17         FILENAME EGHTML TEMP;
18         ODS HTML5(ID=EGHTML) FILE=EGHTML
19             OPTIONS(BITMAP_MODE='INLINE')
20             %HTML5AccessibleGraphSupported
21             ENCODING='utf-8'
22             STYLE=HtmlBlue
23             NOGTITLE
24             NOGFOOTNOTE
25             GPATH=&sasworklocation
26         ;
NOTE: Writing HTML5(EGHTML) Body file: EGHTML
27         
28         data = LRT_result;
           ____
           180

ERROR 180-322: Statement is not valid or it is used out of proper order.

29         LR =(&ChiSq_full - &ChiSq_reduced);
           __
           180

ERROR 180-322: Statement is not valid or it is used out of proper order.

30         DF = (&DF_full - &DF_reduced);
           __
           180

ERROR 180-322: Statement is not valid or it is used out of proper order.

31         p=1 - probchi(chiSq,DF);
           _
           180

ERROR 180-322: Statement is not valid or it is used out of proper order.

32         RUN;
33         
34         %LET _CLIENTTASKLABEL=;
35         %LET _CLIENTPROCESSFLOWNAME=;
36         %LET _CLIENTPROJECTPATH=;
37         %LET _CLIENTPROJECTPATHHOST=;
38         %LET _CLIENTPROJECTNAME=;
39         %LET _SASPROGRAMFILE=;
40         %LET _SASPROGRAMFILEHOST=;
41         
42         ;*';*";*/;quit;run;
43         ODS _ALL_ CLOSE;
44         
45         
46         QUIT; RUN;
47

Can anyone help me correcting the code? That would be great!

Re: Write a code on SAS on likelihood ratio

Arjayita — Sat, 27 Apr 2024 01:25:42 GMT

I have attached the base code for better understanding 🙂

Re: Write a code on SAS on likelihood ratio

Arjayita — Sat, 27 Apr 2024 01:25:02 GMT

LIBNAME dev "/team/decision_science/Customer_Modelling/Project/013_Foundation_Customer_Score/Data/Development Sample/Jun19/Stratified Samples" access=readonly;
LIBNAME MRAV "/team/analytics_mod/Technical_Validation/01_Retail/04_Unsecured/FCS_StageD_Rerun/Data";

data dormant_pca_cc;
    set dev.fcs_jun19_dorm_pca_cc_build;
	drop CSV2_2_exclusion_7_bnkrpt CSV2_2_exclusion_8_dceasd CSV2_2_exclusion_9_basic_dorm
		 bcoms_active_9m_frm_Jun19 bcoms_stays_active_9m_frm_Jun19;
run;

%SYSMSTORECLEAR;
LIBNAME modmacro "/team/decision_science/xTeam/.modelling_macro/" access=readonly;
OPTIONS noimplmac obs=max mstored sasmstore=modmacro;

* Create the bindings dataset *;
DATA bandings;
     LENGTH varname $ 40 grps $ 2000;
     INPUT type modtype inmod varname $ grps $;
CARDS;
2 1 1 BU_419_DQ :"0_","U","ND":
1 1 1 BU_26_AB_NUM :0:
1 1 1 BU_345_HN_NUM :0:25:75:
1 1 1 RR_CHR_105 :200:
1 1 1 BU_162_GG_NUM :120:180:360:
1 1 1 RR_CHR_169 :-9999997:5:30:
1 1 1 BU_799_TEB_NUM :0:1:2:
1 1 1 RR_CHR_111 :2000:
1 1 1 BU_301_PL_NUM :0:
1 1 1 BU_1552_SHC_NUM :.N:0:
1 1 1 BU_1577_RIC_NUM :0:50:
1 1 1 RR_CHR_122 :0:
2 1 1 E1_B_07 :"0","N","T","U":
1 1 1 bu_670_uz_num :-1:1000:
;
RUN;

* Create the dataset labels *;
DATA labels;
     LENGTH varname $ 15 grps $ 300;
     INPUT varname $ grps $;
CARDS;
RUN;


* Execute the model SAS macro *;
%MODEL(
     set=dormant_pca_cc,
     scoreset=MRAV.dormant_pca_cc,
     outcome=FCS_bad_9m_Jun19,
     weight=weight,
     holdout=holdout,
     oscore=CSv2_2,
     drop=1,
     user=Arjayita Ghosh,
     progname=Dormant_PCA_CC
);

Write a code on SAS on likelihood ratio

Arjayita — Sat, 27 Apr 2024 01:13:14 GMT

I have one dataset DORMANT_PCA_CC which has fourteen variables. Bu_419_DQ, Bu_26_ab_num, Bu_345_hn_num, rr_chr_105, bu_162_gg_num, rr_chr_169, bu_799_teb_num, rr_chr_111, bu_301_pl_num, bu_1552_shc_num, bu_1577_ric_num, rr_chr_122, e1_b_07, bu_670_uz_num.
i want to drop one variable which is bu_670_uz_num.

If I want to test whether the drop out variable bu_670_uz_num is significant or not, I shall perform a likelihood ratio test of two models. How to write a code on SAS to check the change in likelihood?

thanks in advance

Re: Syntax error

Arjayita — Mon, 04 Sep 2023 19:46:44 GMT

Thanks Amir for being my saviour. For some programmes this error message didn't have any impact, that is why I thought in this programme as well, this error message is not a problem. But as you explained, it clearly makes sense that one error created another error and so on. Thanks very much really appreciate your help and time. :))

Re: Syntax error

Arjayita — Mon, 04 Sep 2023 18:15:24 GMT

TITLE "Live Pre PMA UTD RWA";
Proc sql;
	create table LIVE_UTD_RWA_&run.  as
		select	 RMS_Band
				,Case 	When RMS_Band = . then 0.1
						When RMS_Band = 1 then 0.00077
						When RMS_Band = 2 then 0.003675
						When RMS_Band = 3 then 0.00735
						When RMS_Band = 4 then 0.01605
						When RMS_Band = 5 then 0.0321
						When RMS_Band = 6 then 0.062895
						When RMS_Band = 7 then 0.1050
						When RMS_Band = 8 then 0.2100
						When RMS_Band = 9 then 0.3675
						else RMS_MID_PD end as PMA_PD
			    ,count(*) as obs
		   		,sum(capital_balance) as EAD_Current
		  		,sum(RWA_CAR) as V400_RWA
		  		,sum(Expected_Loss_CAR) as EL
		  		,sum(lgd_value) as LGD
	from OUT.Calibration_Data_&qmrf_report._BAU
	where basel_delinquency_category = 'A'
	group by 1,2
	;
	create table OUT.Live_Pre_PMA_UTD_RWA_&MONTH.  as
		select	 PMA_PD
			    ,sum(obs) as Obs
		   		,sum(EAD_Current) as EAD_Current
		  		,sum(LGD)/sum(EAD_Current) as LGD_PCT
				,0.03*(1-EXP(-35* pma_pd))/(1-EXP(-35))+0.16*(1-(1-EXP(-35* pma_pd))/(1-EXP(-35))) as Correlation
				,(0.11852-0.05478*log(pma_pd))**2 as Maturity
				,(calculated LGD_PCT*PROBNORM((1/SQRT(1-calculated Correlation))*PROBIT(pma_pd)+SQRT(calculated Correlation/(1-calculated Correlation))*PROBIT(0.999))- pma_pd * calculated LGD_PCT)*(1/(1-1.5*calculated Maturity))*(1+(1-2.5)*calculated Maturity) as Cap_Req_Live
				,calculated Cap_Req_Live*12.5*1.06*calculated EAD_Current as Live_RWA
	from LIVE_UTD_RWA_&run.
	group by 1
	;
	Select Sum(Live_RWA) as Live_UTD_RWA format=NLMNLGBP. length=20
	into :RWA
	From OUT.Live_Pre_PMA_UTD_RWA_&MONTH.
	;
Quit;

Proc SQL noprint;
    select &RWA./sum(EAD_Current)
    into :RWA_of_Exp
    from OUT.Live_Pre_PMA_UTD_RWA_&MONTH.
;
QUIT;
%Put RWA_of_Exp=&RWA_of_Exp. ;
TITLE;

Hey this is me again. I tried to follow your suggestion but failed. Thats why pasted the whole code. I have attached the error message as well. The authorisation level error did not create any material impact on the output/result after running the code. Just thought of highlighting this.

Re: Syntax error

Arjayita — Thu, 31 Aug 2023 16:48:56 GMT

I have noticed that the previous programme where all these datasets have been created, got an error due to datasets being archived. After unarchiving them i will first try to run the previous programme. and even after that if i get the same error, will give you a nudge. since I have very limited idea in SAS, i thought syntax error is only to deal with ',' '/' '""' etc. Stupid me. anyway, thanks once again.

Re: Syntax error

Arjayita — Thu, 31 Aug 2023 16:46:09 GMT

The previous programme to this, got an error because some datasets were archived. I will unarchive them and try to run the previous programme. Even after that if I get the same error, will give you nudge. many thanks :)))

Re: Syntax error

Arjayita — Thu, 31 Aug 2023 16:44:33 GMT

Thanks for your time. I am very new to SAS and I will give it a try tomorrow or may be share details with you. Really appreciate your response

Re: Syntax error

Arjayita — Thu, 31 Aug 2023 10:13:55 GMT

syntax error, expecting one of the following: a name, *.

Syntax error

Arjayita — Thu, 31 Aug 2023 10:07:30 GMT

Proc SQL noprint;
Select &RWA./sum(EAD_Current)
into :RWA_of_Exp
from Out.Live_Pre_PMA_UTD_RWA_&month.
;
Quit;