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

Index

A

Accuracy performance measure 117

Accuracy Ratio (AR) performance measure 54, 117

Accuracy Ratio Trend, graphically representing in SAS Enterprise Guide 121–122

advanced internal ratings-based approach (A-IRB) 2

Analytical Base Table (ABT) format 50

application scorecards

about 35

creating 144

data partitioning for 40

data preparation for 37–38

data sampling for 39–40

developing models in SAS Enterprise Miner 139–145

developing PD model for 36–47

filtering for 40

input variables for 37–38

for Known Good Bad Data (KGB) 39

model creation process flow for 38

model validation for 46–47

modeling for 41–45

motivation for 36–37

outlier detection for 40

reject inference for 45–46

scaling for 41–45

strength of 54

transforming input variables for ...