Posts Tagged ‘ credit risk ’

Top 10 reasons for a modeler to learn PROC FCMP

March 9, 2012
By
Top 10 reasons for a modeler to learn PROC FCMP

10.  New financial functions 34 pre-compiled financial functions were shipped with SAS for free, which can be called in DATA step. 9. A management GUI There is a nice-looking Java-powered GUI to manage the user-defined functions: SAS FCmp functi...
Read more »

Tags: ,
Posted in SAS | Comments Off

Test A-IRB approach for credit rating

February 24, 2012
By
Test A-IRB approach for credit rating

Basel II or Basel III framework would allow qualified financial institutions to apply their own rating systems for credit risks, such as advanced internal ratings-based approach (A-IRB). The equations of required capital play a big role...
Read more »

Tags:
Posted in SAS | Comments Off

Modeling loss given default (LGD) by finite mixture model

September 30, 2011
By
Modeling loss given default (LGD) by finite mixture model

The 'highly skewed' and 'highly irregular' loss data from the insurance and banking world is routinely fitted by a simple beta/ lognormal/gamma/Pareto distribution. While looking at the distribution plot, I bet that many people don’t want to buy this...
Read more »

Tags:
Posted in SAS | Comments Off

Modeling loss given default (LGD) by finite mixture model

September 30, 2011
By
Modeling loss given default (LGD) by finite mixture model

The 'highly skewed' and 'highly irregular' loss data from the insurance and banking world is routinely fitted by a simple beta/ lognormal/gamma/Pareto distribution. While looking at the distribution plot, I bet that many people don’t want to buy this...
Read more »

Tags:
Posted in SAS | Comments Off

Modeling loss given default (LGD) by finite mixture model

September 30, 2011
By
Modeling loss given default (LGD) by finite mixture model

The 'highly skewed' and 'highly irregular' loss data from the insurance and banking world is routinely fitted by a simple beta/ lognormal/gamma/Pareto distribution. While looking at the distribution plot, I bet that many people don’t want to buy this...
Read more »

Tags:
Posted in SAS | Comments Off

Play Basel II Accord with SAS (2): portfolio simulation

July 25, 2011
By
Play Basel II Accord with SAS (2): portfolio simulation

Although Basel II largely depends on probability instead of generalized linear model that SAS is especially good at, still SAS’ excellent data manipulation and visualization features make it one of the finest tools to explore and implement this acco...
Read more »

Tags:
Posted in SAS | Comments Off

Play Basel II Accord with SAS (2): portfolio simulation

July 25, 2011
By
Play Basel II Accord with SAS (2): portfolio simulation

Although Basel II largely depends on probability instead of generalized linear model that SAS is especially good at, still SAS’ excellent data manipulation and visualization features make it one of the finest tools to explore and implement this acco...
Read more »

Tags:
Posted in SAS | Comments Off

Play Basel II Accord with SAS (2): portfolio simulation

July 25, 2011
By
Play Basel II Accord with SAS (2): portfolio simulation

Although Basel II largely depends on probability instead of generalized linear model that SAS is especially good at, still SAS’ excellent data manipulation and visualization features make it one of the finest tools to explore and implement this acco...
Read more »

Tags:
Posted in SAS | Comments Off

Proc-x is looking for sponsors!

Dear readers, proc-x is looking for sponsors who would be willing to support the site in exchange for banner ads in the right sidebar of the site. If you are interested, please e-mail me at: [email protected]

Welcome!

SAS-X.com offers news and tutorials about the various SAS® software packages, contributed by bloggers. You are welcome to subscribe to e-mail updates, or add your SAS-blog to the site.

SAS and all other SAS Institute Inc. product or service names are registered trademarks or trademarks of SAS Institute Inc. in the USA and other countries. ® indicates USA registration.