Chapter 1 Introduction

1.1 Book Overview

1.2 Overview of Credit Risk Modeling

1.3 Regulatory Environment

1.3.1 Minimum Capital Requirements

1.3.2 Expected Loss

1.3.3 Unexpected Loss

1.3.4 Risk Weighted Assets

1.4 SAS Software Utilized

1.5 Chapter Summary

1.6 References and Further Reading

1.1 Book 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.

This chapter begins by giving an overview ...

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