Overview

This book aims to define the concepts underpinning credit risk modeling and to show how these concepts can be formulated with practical examples using SAS software. Each chapter tackles a different problem encountered by practitioners working or looking to work in the field of credit risk and give a step-by-step approach to leverage the power of the SAS Analytics suite of software to solve these issues (SAS Enterprise Miner, SAS Enterprise Guide, SAS/STAT and SAS Model Manager). This book begins by giving an overview of what credit risk modeling entails, explaining the concepts and terms that one would typically come across working in this area. We then go on to scrutinize the current regulatory environment, highlighting the key reporting parameters that need to be estimated by financial institutions subject to the Basel capital requirements. Finally, we discuss the SAS analytics software used for the analysis part of this book.

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9781522943297

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