Credit Risk Model - Data Preparation using SAS Code

[Skb19121985]

Hi Sir

I understand that there are different ways of getting the required results without populating BQR1 to BQR12. The SAS code you presented is one such example.

I just wanted wanted to understand the SAS process to get all the 3 queries addressed in the same SAS program.

The SAS code that Patrick provided helped me also understand the SAS process through which I can populate some variables at time t by looking at the performance in next n months.

Regards

[SASKiwi]

Here is how you could add your flags into the one step:

proc sql;
  create table want as 
  select  H1.acct_id
         ,min(H1.snapshot_date) as Start_Date format = date9.
         ,H2.Default_Date format = date9.
         ,case 
           when intck('MONTH', calculated Start_Date, H2.Default_Date, 'C') <= 12 then 1
           else 0
          end as Default_Flag
         ,H3.Writeoff_Date format = date9.
         ,case 
           when calculated Default_Flag = 1 and intck('MONTH', calculated Start_Date, Writeoff_Date, 'C') <= 60 then 1
           else 0
          end as Writeoff_Flag
  from credit_data as H1

  left join
  (select acct_id 
         ,min(snapshot_date) as Default_Date
   from credit_data
   where BQR = '9'
   group by acct_id
  )  as H2
  on H1.acct_id = H2.acct_id

  left join
  (select acct_id 
         ,min(snapshot_date) as Writeoff_Date
   from credit_data
   where BQR = 'W'
   group by acct_id
  )  as H3
  on H1.acct_id = H3.acct_id

  group by H1.acct_id
  ;
quit;

[Reeza]

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@Skb19121985 wrote:

3) I am expected to create variables BQR_1 to BQR_12 and populate values from the variable BQR for the next 12 months 

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If you create these variables ahead of time you don't have to loop for 1 as you seem to think. You can use them in the current row. 

1) For each observation date corresponding to a given acct_id, I am expected to check in the next 12 months including the given observation month  for BQR , if it gets a value 9 then declare that acct_id at the given date to have a default_flag = 1 else 0 

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WHICHC searches a set of variables, BRQ1-BRQ12 to see if there's a value of 9.