credit risk modelling - EAD Model

[Skb19121985]

Could anyone help me with:

1) Conceptualization of EAD Modeling methodology using SAS Code

2) Data Preparation for the purpose of building EAD Model

3) SAS Code for EAD Model development

[SASKiwi · Accepted solution]

You may find my response to a similar query helpful:

https://communities.sas.com/t5/SAS-Risk-Management/Formulas-for-Basel-II-Capital-Requirement/m-p/256...

In my experience EAD isn't usually modelled but PD and LGD is - see my comments on EAD in the link.

[Skb19121985]

Hi Sir

Thanks for your reply.

Actually , it is not EAD which is directly modelled, but CCF (Credit conversion factor), which in turn could be used to predict EAD.

I have found a PDF at the link : https://www.sas.com/store/books/categories/usage-and-reference/developing-credit-risk-models-using-s...

I have this PDF but can not attach it in this post due to large size. If you refer to Page 87 to 107, you will come to know that EAD model could be developed.

You can read about them at : https://www.researchgate.net/publication/295161153_Exposure_at_default_models_with_and_without_the_c...

Actually, I followed this, but could not understand it thoroughly mainly because it is in SAS Enterprise Miner.

Can we replicate the process in SAS EG ?

[raysubhashish]

Hi,

Please share your findings/progress on the methodology for modeling CCF.

Thanks!!