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SAS for Finance

You're reading from SAS for Finance

Product type Book

Published in May 2018

Publisher Packt

ISBN-13 9781788624565

Pages 306 pages

Edition 1st Edition

Languages

Concepts

Author (1):

Harish Gulati

Table of Contents (9) Chapters

Preface

1. Time Series Modeling in the Financial Industry

2. Forecasting Stock Prices and Portfolio Decisions using Time Series

3. Credit Risk Management

4. Budget and Demand Forecasting

5. Inflation Forecasting for Financial Planning

6. Managing Customer Loyalty Using Time Series Data

7. Transforming Time Series – Market Basket and Clustering

8. Other Books You May Enjoy

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Credit risk key metrics

Let's review the key terms for credit risk.

Exposure at default

This is the amount that a bank is exposed to when a counterparty defaults. It could be equal to the outstanding amount on a fixed loan. In the case of limits, this needs to be assessed based on the drawn and undrawn components. Having a high exposure at default (EAD) doesn't necessarily mean that the bank would lose an equivalent amount. The amount lost could be less, equal, or even higher than the EAD. The loss given default calculation would help the bank assess the loss in case of a certain EAD. The regulators are concerned about the bank's overall EAD figure and also the EAD figures, to some specific sectors, which may...

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Authors (1)

Harish Gulati

Harish Gulati is a consultant, analyst, modeler, and trainer based in London. He has 16 years of financial, consulting, and project management experience across leading banks, management consultancies, and media hubs. He enjoys demystifying his complex line of work in his spare time. This has led him to be an author and orator at analytical forums. His published books include SAS for Finance by Packt and Role of a Data Analyst, published by the British Chartered Institute of IT (BCS). He has an MBA in brand communications and a degree in psychology.

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