Turn on suggestions

Auto-suggest helps you quickly narrow down your search results by suggesting possible matches as you type.

Showing results for

- Home
- /
- Analytics
- /
- SAS Data Science
- /
- Re: SAS Enterprise Miner - Behavior scoring - Probability of Default

Options

- RSS Feed
- Mark Topic as New
- Mark Topic as Read
- Float this Topic for Current User
- Bookmark
- Subscribe
- Mute
- Printer Friendly Page

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

Posted 07-08-2018 03:44 PM
(2112 views)

Hi,

I am building a PD model on SAS EM using credit score node.

I can see in results as Scorecard window, and this has a score for all the variables displayed here.

Point is i want to calculate the probability of default for a particular customer i.e. lets say 0.6 is the probability of default.

How should I do this in SAS EM??

7 REPLIES 7

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

Once you have a model built you can usually connect a SCORE node to score new data. Or export your model as score code to be used in several languages.

If you want the first option you need to import your data into SAS and use a Score node to score the output. The input data needs to have the same structure as your original data as well as the same range of values.

For the second method, you can export the score code and then you can use that in Base SAS or EG or a different language if you choose that option, and run it against the data in a new program. Note that 'skeleton' code is developed, you need to wrap the logic in a data step and provide the input data.

@AnshulS wrote:

Hi,

I am building a PD model on SAS EM using credit score node.

I can see in results as Scorecard window, and this has a score for all the variables displayed here.

Point is i want to calculate the probability of default for a particular customer i.e. lets say 0.6 is the probability of default.

How should I do this in SAS EM??

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

Hi Reeza,

Thanks for your reply. I actually wanted to see probability of default for each observation in my input data. Is there a way to see estimated default probabilities for each input observation in SAS EM??

Thanks,

Anshul.

Thanks for your reply. I actually wanted to see probability of default for each observation in my input data. Is there a way to see estimated default probabilities for each input observation in SAS EM??

Thanks,

Anshul.

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

As I understand it, you have behaviour scores for a number of variables. Do you have an overall score for each row - I'm assuming here that each row represents a loan account?

If you do then the next step would be to compare your actual account defaults with the overall behaviour score. You could group your scores into bands. Typically a behaviour score is a number between 0 and 1,000 (low score means poor behaviour, high score means good behaviour). That means you could split your loans into behaviour scores bands of say 100. You would expect the lower the score the more defaults you are likely to get. By getting the proportion of accounts going into default over total accounts in each band you can start to estimate the probability of default for each score band.This is pretty much a manual coding process. There is no "magic button" in Enterprise Miner to do this. Also it helps to have big volumes of data covering many years so you can calibrate your scorecard accurately

I am being very simplistic here to illustrate how you could go about it, as the path to calculating PDs is tricky and complicated. This is why scorecard experts earn so much money and building scorecards is so expensive! Unfortunately I'm not one of those people. I just know a bit about them...

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

Hi,

Thanks for your reply, conceptually i understand this, but when i use logistic regression where in output i will see probability of defaults? As i only see fit statistics and output windows, but nowhere the probabilities....

I have attached the output for your reference here please.

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

- Mark as New
- Bookmark
- Subscribe
- Mute
- RSS Feed
- Permalink
- Report Inappropriate Content

Build your skills. Make connections. Enjoy creative freedom. Maybe change the world. **Registration is now open through August 30th**. Visit the SAS Hackathon homepage.

How to choose a machine learning algorithm

Use this tutorial as a handy guide to weigh the pros and cons of these commonly used machine learning algorithms.

Find more tutorials on the SAS Users YouTube channel.