Turn on suggestions

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

Showing results for

- Home
- /
- Risk and Fraud
- /
- SAS Risk Management
- /
- Re: Simulating LGD Dataset

Options

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

🔒 This topic is **solved** and **locked**.
Need further help from the community? Please
sign in and ask a **new** question.

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

Posted 05-19-2016 04:36 AM
(2390 views)

Hi All,

Is there a way to simulate LGD dataset given the lack of LGD datasets in public domain. The variables can be LGD, EAD, Recovery cost, Value at Recovery.

Thanks,

Srihari

1 ACCEPTED SOLUTION

Accepted Solutions

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

You may find my answer on a similar question helpful:

With LGD estimates you have two choices. One is you can use historical loan behaviour data, which is really only available if you work at a bank. Second is you can construct a model that simulates loan behaviour (you need to model PD as well to get LGD) but is also subject to econometric factors like house prices, interest rates, inflation rates, unemployment rates and so on. This is harder to do by far than option one. Even if you want to build a model just for practice it is tricky. Also the only way to calibrate your model is to compare it to real losses. Such models tend to be built by a bunch of stats and BI gurus hired by banks at great expense.

I'm not trying to put you off just trying to give you a realistic answer...

4 REPLIES 4

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

Hi Srihari,

Is there a particular SAS Risk Management product you are using that you need sample data for?

Regards,

Brendan

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

Hi Brendan,

No I just want to practice measuring LGD. I'm using On Demand Academics. I'm not able to find LGD data for obvious reasons so I thought simulation is a way to go(I'm not skilled enough to generate simulated data set at least for now!).

Regards,

Srihari

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

You may find my answer on a similar question helpful:

With LGD estimates you have two choices. One is you can use historical loan behaviour data, which is really only available if you work at a bank. Second is you can construct a model that simulates loan behaviour (you need to model PD as well to get LGD) but is also subject to econometric factors like house prices, interest rates, inflation rates, unemployment rates and so on. This is harder to do by far than option one. Even if you want to build a model just for practice it is tricky. Also the only way to calibrate your model is to compare it to real losses. Such models tend to be built by a bunch of stats and BI gurus hired by banks at great expense.

I'm not trying to put you off just trying to give you a realistic answer...

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

Hi, Thanks for the reply. I can see where you are coming from in terms of your answer. Most of the macroeconomic variables if not all tend to be not significant when it comes to measuring LGD. So I guess we can build a dataset sans macroeconomic variables at least for practice sake(I know its not ideal way to learn). I saw in SAS studio there is a procedure to simulate Regression dataset so I guess there must be a way forward to simulate LGD dataset with variables like LGD, EAD, Recovery cost, Value at Recovery.

Regards,

Srihari

Chartis names SAS a leader in both Model Risk Governance and Model Validation

Upcoming Events

- SAS® Viya® Workbench – Available on AWS Marketplace | 25-Jun-2024
- DCSUG Virtual Meeting with Kirk Paul Lafler | 26-Jun-2024
- Wie kann ich SAS Visual Analytics effizient einsetzen, um die Ergebnisse meiner analytischen Modelle | 27-Jun-2024
- Ask the Expert: How Can I Use SAS® Optimization From Python? | 09-Jul-2024
- WUSS Virtual: Mastering Oncology Studies: A Comprehensive Guide for Programmers & Biostatisticians | 12-Jul-2024
- Ask the Expert: Jupyter Notebook: Your Coding Canvas | 16-Jul-2024
- MinnSUG Annual SAS Conference | 17-Jul-2024