Basel II Accord, revised by Basel Committee on Banking Supervision (BCBS) and adopted by more than 100 nations, regulates the commercial banks’ capital against risks. Major US banks are under the transition window to fully comply it (2008-2011) [Ref….
Tag: credit risk
Play Basel II Accord with SAS (1): capital requirement
Basel II Accord, revised by Basel Committee on Banking Supervision (BCBS) and adopted by more than 100 nations, regulates the commercial banks’ capital against risks. Major US banks are under the transition window to fully comply it (2008-2011) [Ref….
Play SAS with Basel II Accord (1): loan capital requirement
Basel II Accord, revised by Basel Committee on Banking Supervision (BCBS) and adopted by more than 100 nations, regulates the commercial banks’ capital against risks. Major US banks are under the transition window to fully comply it (2008-2011) [Ref….
Credit default swap pricing by PROC FCMP
Sometimes I feel curious about how running a simple VBA macro in Excel could beat my 8-core desktop to indefinite waiting time with 100% CPU usage. On those occasions, I wish SAS could be a rescue, since I am more familiar and confident with SAS. The g…
Credit default swap pricing by Proc FCMP
Sometimes I feel curious about how running a simple VBA macro in Excel could beat my 8-core desktop to indefinite waiting time with 100% CPU usage. On those occasions, I wish SAS could be a rescue, since I am more familiar and confident with SAS. The g…
Credit default swap pricing by PROC FCMP
Sometimes I feel curious about how running a simple VBA macro in Excel could beat my 8-core desktop to indefinite waiting time with 100% CPU usage. On those occasions, I wish SAS could be a rescue, since I am more familiar and confident with SAS. The g…
Bootstrap prediction models for probability of default
Not like consumer credit scoring, corporate default study is usually jeopardized by the low-n-low-p data sizes. In the fourth chapter of their book, Gunter and Peter, demonstrated an example about how to construct prediction models for IDR (invesment g…
Bootstrap prediction models for probability of default
Not like consumer credit scoring, corporate default study is usually jeopardized by the low-n-low-p data sizes. In the fourth chapter of their book, Gunter and Peter, demonstrated an example about how to construct prediction models for IDR (invesment g…