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

Chapter 3 Development of a Probability of Default (PD) Model

3.1 Overview of Probability of Default

3.1.1 PD Models for Retail Credit

3.1.2 PD Models for Corporate Credit

3.1.3 PD Calibration

3.2 Classification Techniques for PD

3.2.1 Logistic Regression

3.2.2 Linear and Quadratic Discriminant Analysis

3.2.3 Neural Networks

3.2.4 Decision Trees

3.2.5 Memory Based Reasoning

3.2.6 Random Forests

3.2.7 Gradient Boosting

3.3 Model Development (Application Scorecards)

3.3.1 Motivation for Application Scorecards

3.3.2 Developing a PD Model for Application Scoring

3.4 Model Development (Behavioral Scoring)

3.4.1 Motivation for Behavioral Scorecards

3.4.2 Developing a PD Model for Behavioral Scoring

3.5 PD Model Reporting

3.5.1 Overview

3.5.2 Variable ...