Dear all
I am pleased to inform you that I have developed two distinct SAS macros designed to explain the Low Default Portfolio modeling approach suggested by Pluto &Tasche https://arxiv.org/pdf/cond-mat/0411699v3
These macros account for both correlated and independent default events. I believe these tools will be highly valuable for the SAS community, particularly in the area of Credit Risk Modeling for Low Default or Zero Default portfolios.
From my point of view, these ones are great examples of built-in functions to be deployed as part of an particular SAS Proc Statement, such as: PROC LDPT
Best regards,
Raphael Chaves
LDP_INDEPENDENT_DEFAULTS.sas
LDP_CORRELATED_DEFAULTS.sas
