Econometric IFRS9 and Stress Test Models using SAS, Python and R ler

Isbn 13: 9798797894094

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Descrição do livro

The primary purpose of this book is to illustrate the model building process of econometric longitudinal and survival models using SAS/STAT, Python and R, incorporating economic variables, with a focus on business cases. The book emphasizes techniques that can be easily implemented, rather than delving into the granular detail of the underlying mathematics, and consequently will include:

  • Continuous and discrete time-to-event definitions and modelling techniques
  • Censor variables
  • Survival function
  • Hazard function
  • Modelling Time-dependent variables using counting format
  • Cubic spline function and logistic regression models
  • The Papke-Wooldridge Econometric Fractional Model
  • Econometric Recurrent Models
  • Econometric Competing Risk Models
Each step is explained with regards to both statistical theory and Base SAS, SAS/STAT and SAS/ETS programming but the Python and R code will be available to download. It addresses the development and application of longitudinal, data panel and survival analysis techniques to common scenarios faced by financial services, banks, insurance companies, marketing, and the telecommunications industry. These scenarios include the following:
  • Economic and customer data preparation needed for the application of modelling techniques
  • Macro econometric Stress Test applied to Mortgage and Small Business portfolio for credit risk
  • Lifetime Probability of Default (LT-PD) and Lifetime Loss Given Default (LT-LGD)
  • Time-to-next-purchase for marketing and Cure models for credit risk using intensity (recurrent) modelling
  • Application of fractional modelling applied to Loss Given Default and percent rates

Número de páginas :172
Isbn 13 :9798797894094
Encadernação Econometric IFRS9 and Stress Test Models using SAS, Python and R:Capa Comum
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