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turcay
Lapis Lazuli | Level 10

Hello everyone,

 

Are the reports which aren't existent within PD and LGD given below present? If so, are there procedures?

 

Do you have sample report output and template for PD and LGD below, that you can suggest for the Risk Management in the Bank?

 

PD : Conditional Entropy Ratio, Calibration validation (Calibration Test Procedure Based on Default Correlation, Chi-square, Calibration Test using Standard Normal Distribution )

 

LGD: Cohen’s d test, t-Test

 

PD and LGD : Transition matrix, Descriptive statistics for input variables, Box-Whisker Plot.

 

Thank You.

 

 

1 ACCEPTED SOLUTION

Accepted Solutions
Rick_SAS
SAS Super FREQ

This is outside my area, but there seems to be some information about these statistical measures in the documentation for SAS Model Manager.

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2 REPLIES 2
Rick_SAS
SAS Super FREQ

This is outside my area, but there seems to be some information about these statistical measures in the documentation for SAS Model Manager.

turcay
Lapis Lazuli | Level 10

Thanks a lot.

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