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

Chapter 7 Producing Model Reports

7.1 Surfacing Regulatory Reports

7.2 Model Validation

7.2.1 Model Performance

7.2.2 Model Stability

7.2.3 Model Calibration

7.3 SAS Model Manager Examples

7.3.1 Create a PD Report

7.3.2 Create a LGD Report

7.4 Chapter Summary

7.1 Surfacing Regulatory Reports

In this chapter, we focus on the reporting outputs that are required under regulatory guidelines in the presentation of the internally built PD, LGD, and EAD models. SAS provides a number of ways to produce these reports. Throughout this chapter, the following software is referenced:

1.  SAS Enterprise Guide

2.  SAS Enterprise Miner

3.  SAS Model Manager

We will begin by outlining the types of model validation that are commonly practiced within the industry, ...