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Dr. Iain Brown - Developing Credit Risk Models Using SAS Enterprise Miner and SAS/STAT: Theory and Applications

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Combine complex concepts facing the financial sector with the software toolsets available to analysts.The credit decisions you make are dependent on the data, models, and tools that you use to determine them. Developing Credit Risk Models Using SAS Enterprise Miner and SAS/STAT: Theory and Applications combines both theoretical explanation and practical applications to define as well as demonstrate how you can build credit risk models using SAS Enterprise Miner and SAS/STAT and apply them into practice.The ultimate goal of credit risk is to reduce losses through better and more reliable credit decisions that can be developed and deployed quickly. In this example-driven book, Dr. Brown breaks down the required modeling steps and details how this would be achieved through the implementation of SAS Enterprise Miner and SAS/STAT.Users will solve real-world risk problems as well as comprehensively walk through model development while addressing key concepts in credit risk modeling. The book is aimed at credit risk analysts in retail banking, but its applications apply to risk modeling outside of the retail banking sphere. Those who would benefit from this book include credit risk analysts and managers alike, as well as analysts working in fraud, Basel compliancy, and marketing analytics. It is targeted for intermediate users with a specific business focus and some programming background is required.Efficient and effective management of the entire credit risk model lifecycle process enables you to make better credit decisions. Developing Credit Risk Models Using SAS Enterprise Miner and SAS/STAT: Theory and Applications demonstrates how practitioners can more accurately develop credit risk models as well as implement them in a timely fashion.This book is part of the SAS Press Program.

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Developing Credit Risk Models Using SAS Enterprise Miner and SASSTAT Theory - photo 1

Developing Credit Risk Models
Using SAS Enterprise Miner
and SAS/STAT

Theory and Applications

Iain L. J. Brown, PhD

supportsascombookstore The correct bibliographic citation for this manual - photo 2 support.sas.com/bookstore

The correct bibliographic citation for this manual is as follows: Brown, Iain. 2014. Developing Credit Risk Models Using SAS Enterprise Minerand SAS/STAT: Theory and Applications. Cary, NC: SAS Institute Inc.

Developing Credit Risk Models Using SASEnterprise Minerand SAS/STAT: Theory and Applications

Copyright 2014, SAS Institute Inc., Cary, NC, USA

ISBN 978-1-61290-691-1 (Hardcopy)
ISBN 978-1-62959-486-6 (EPUB)
ISBN 978-1-62959-487-3 (MOBI)
ISBN 978-1-62959-488-0 (PDF)

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December 2014

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Contents
About This Book
Purpose

This book sets out to empower readers with both theoretical and practical skills for developing credit risk models for Probability of Default (PD), Loss Given Default (LGD) and Exposure At Default (EAD) models using SAS Enterprise Miner and SAS/STAT. From data pre-processing and sampling, through segmentation analysis and model building and onto reporting and validation, this text aims to explain through theory and application how credit risk problems are formulated and solved.

Is This Book for You?

Those who will benefit most from this book are practitioners (particularly analysts) and students wishing to develop their statistical and industry knowledge of the techniques required for modelling credit risk parameters. The step-by-step guide shows how models can be constructed through the use of SAS technology and demonstrates a best-practice approach to ensure accurate and timely decisions are made. Tutorials at the end of the book detail how to create projects in SAS Enterprise Miner and walk through a typical credit risk model building process.

Prerequisites

In order to make the most of this text, a familiarity with statistical modelling is beneficial. This book also assumes a foundation level of SAS programming skills. Knowledge of SAS Enterprise Miner is not required, as detailed use cases will be given.

Scope of This Book

This book covers the use of SAS statistical programming (Base SAS, SAS/STAT, SAS Enterprise Guide), SAS Enterprise Miner in the development of credit risk models, and a small amount of SAS Model Manager for model monitoring and reporting.

This book does not provide proof of the statistical algorithms used. References and further readings to sources where readers can gain more information on these algorithms are given throughout this book.

About the Examples
Software Used to Develop the Books Content

SAS 9.4

SAS/STAT 12.3

SAS Enterprise Guide 6.1

SAS Enterprise Miner 12.3 (with Credit Scoring nodes)

SAS Model Manager 12.3

Example Code and Data

You can access the example code and data for this book by linking to its author page at http://support.sas.com/publishing/authors. Select the name of the author. Then, look for the cover thumbnail of this book, and select Example Code and Data to display the SAS programs that are included in this book.

For an alphabetical listing of all books for which example code and data is available, see http://support.sas.com/bookcode. Select a title to display the books example code.

If you are unable to access the code through the website, send e-mail to .

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