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

Chapter 4 Development of a Loss Given Default (LGD) Model

4.1 Overview of Loss Given Default

4.1.1 LGD Models for Retail Credit

4.1.2 LGD Models for Corporate Credit

4.1.3 Economic Variables for LGD Estimation

4.1.4 Estimating Downturn LGD

4.2 Regression Techniques for LGD

4.2.1 Ordinary Least Squares – Linear Regression

4.2.2 Ordinary Least Squares with Beta Transformation

4.2.3 Beta Regression

4.2.4 Ordinary Least Squares with Box-Cox Transformation

4.2.5 Regression Trees

4.2.6 Artificial Neural Networks

4.2.7 Linear Regression and Non-linear Regression

4.2.8 Logistic Regression and Non-linear Regression

4.3 Performance Metrics for LGD

4.3.1 Root Mean Squared Error

4.3.2 Mean Absolute Error

4.3.3 Area Under the Receiver Operating Curve

4.3.4 ...