SAS Macro Code for Delinquency Roll Rate Analysis
I am looking for a SAS Macro or a generic SAS Program that would enable me to construct a Roll Rate Matrix / Markov Chain Matrix
based on Delinquency Data which can then be used for Loss Forecasting in Consumer Credit Risk
I would appreciate any help that is available
Thanks
Getting specific subject matter expertise is unlikely but if you post and example of your data and calculation required you can probably get some help. At least it will be faster.
SAS also has a Risk Managment module that you may want to investigate.
I suggest you post it at IML forum, since it is about matrix operator. @Rick might have something for you .
http://blogs.sas.com/content/iml/2016/07/07/markov-transition-matrices-sasiml.html
http://blogs.sas.com/content/iml/2016/07/13/absorbing-markov-chains-in-sas.html
Thank you for your response to my request.
I have accessed and read the two DO LOOP articles published by Rick Wicklin.
I have also directed my initial request to Rick for his advice.
Regards
Available on demand!
Missed SAS Innovate Las Vegas? Watch all the action for free! View the keynotes, general sessions and 22 breakouts on demand.
Learn how use the CAT functions in SAS to join values from multiple variables into a single value.
Find more tutorials on the SAS Users YouTube channel.