SAS and Credit risk audit

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Super Contributor
Posts: 371

SAS and Credit risk audit

Please, some can give a sas macro to analyse credit risk with the standard and IRBA approches.

Thank you

 

Super User
Posts: 11,134

Re: SAS and Credit risk audit

This is not a simple question. In fact SAS an extra product to address this topic: http://www.sas.com/en_us/software/risk-management.html#credit-risk-management

Super Contributor
Posts: 371

Re: SAS and Credit risk audit

Yes, that's correct, but i am looking for a free application.

Please, I have an other question, is there any other website gives a credit risk paramer ( PD, LGD, EAD, RW, ..) for a counterparty ?

Thank you

Super User
Posts: 3,238

Re: SAS and Credit risk audit

There is a reason why you are unlikely to find free applications for credit risk and that is they are very complex, time-consuming and expensive to build. Not only that the rules and calculations vary from country to country.

 

Deriving of PD and LGD are usually the result of analysing the entire lending book of a bank, and involves complex modelling techniques, particularly for Advanced Internal Rating Based systems. There is no "black box" solution for these.

 

EAD is often just the sum of the drawn and undrawn exposure for a loan but may need to be adjusted based on the country-specific banking authority rules.

 

RWA (Risk Weighted Assets), CR (Capital Required), and EL (Expected Loss) calculations use EAD, PD, LGD as inputs (there are other inputs) and again these can vary between countries. Your best bet is to start with the Basel II regulations in your own country as these usually contain the formulas you need to implement. 

 

 

 

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