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, ...