Create Basel II Reports

In this exercise, you create the Basel II reports that are used to validate models. The Probability of Default (PD) report can be created for a classification model. The Loss Given Default (LGD) report can be created only for a prediction model. After you create the reports, you view them in the Reports folder. The reports enable you to validate candidate models in a version or across versions.

Create a Probability of Default (PD) Report

To create a PD report:
  1. Expand the 2013 version folder in the PD project.
  2. Right-click the Reports node and select Reportsthen selectNew Report. The New Report window appears.
  3. Select Probability of Default Model Validation Report from the Type box.
    New Report Wizard for Probability of Default Model Validation Report
  4. For the type of output that you want to create, accept the default value of PDF in the Format box. The other format that is available is RTF.
  5. Select the HMEQ Scorecard model from the Select Models list.
  6. Complete the Report Properties:
    • Enter a report name if you do not want to use the default value for the Name property. For example, enter Tutorial-6 PD.
    • (Optional) Enter a report description.
    • For the Input Table property, click the Browse button and select the PD_SCORE_INPUT table from the SAS Metadata Repository tab or from the SAS Libraries tab. The table can contain either input variables only, or it can contain both input and output variables.
    • If the input table contains only input variables, set Run Scoring Task to Yes. If the input table contains both input and output variables, set Run Scoring Task to No. For this exercise set Run Scoring Task to Yes, since the PD_SCORE_INPUT table contains only input variables.
    • The Time Period Variable specifies the variable from the input table whose value is a number that represents the development period. This value is numeric. The time period for PD reports begins with 1. Accept the default value of period.
    • (Optional) In the Time Label Variable field, enter the variable from the input table that is used for time period labels. When you specify the time label variable, the report appendix shows the mapping of the time period to the time label. Enter a value of timelabel to include the appendix in the report.
    • Scorecard Bin Variable is the variable from the input table that contains the scorecard bins. If the scoring job for the PD report is run outside SAS Model Manager, the scorecard bin variable must be a variable in the input table. If scoring is done within SAS Model Manager, do not include the variable in the input table. Accept the default value of scorecard_bin.
    • Scorecard Points Variable is the variable that contains the scorecard points. If the scoring job for the PD report is run outside SAS Model Manager, the scorecard points variable must be a variable in the input table. If scoring is done within SAS Model Manager, do not include the variable in the input table. Accept the default of scorecard_points.
    • Cut-off Value is the maximum value that can be used to derive the predicted event and to further compute accuracy, sensitivity, specificity, precision, and error rate. Accept the default of 100.
    New Report window fields populated
    Note: The variable names that you specify can be user-defined variables. A variable mapping feature maps the user-defined variables to required variables.
  7. Click OK. A dialog box message confirms that the report was created successfully.

Create a Loss Given Default (LGD) Report

To create an LGD report:
  1. Expand the 2013 version folder in the LGD-Interval project.
  2. Right-click the Reports node and select Reportsthen selectNew Report. The New Report window appears.
  3. Select Loss Given Default Report from the Type box.
    New Report Window for a Loss Given Default Report
  4. For the type of output that you want to create, accept the default value of PDF in the Format box. The other format option that is available is RTF.
  5. Select the LGD model from the Select Models list.
  6. Complete the Report Properties:
    • Enter a report name if you do not want to use the default value for the Name property. For example, enter Tutorial-6 LGD.
    • (Optional) Enter a report description.
    • For the Input Table property, click the Browse button and select the LGD_SCORE_INPUT table from the SAS Metadata Repository tab or from the SAS Libraries tab that is used for scoring during the creation of the LGD report. The table can contain either input variables only, or it can contain both input and output variables.
    • If the input table that is specified in the Input Table property contains only input variables, set Run Scoring Task to Yes. If the input table contains input and output variables, set Run Scoring Task to No. For this exercise set Run Scoring Task to Yes, since the LGD_SCORE_INPUT table only contains input variables.
    • The Time Period Variable specifies the variable from the input table whose value is a number that represents the development period. This value is numeric. Accept the default value of period.
    • (Optional) In the Time Label Variable field, enter the variable from the input table that is used for time period labels. When you specify the time label variable, the report appendix shows the mapping of the time period to the time label. Enter a value of timelabel to include the appendix in the report.
    • Actual Variable is the actual LGD variable. Accept the default value of lgd.
    • Predicted Variable is the project scoring output variable. If the scoring for the LGD report is performed outside SAS Model Manager, the input data set must include this variable. If the scoring for the LGD report is done by SAS Model Manager, the input data set should not include this variable. Accept the default value of p_lgd.
    • Pool Variable is the variable from the input table that is used to identify a two-character pool identifier. Accept the default of pool_id.
    New Report window fields populated
    Note: The variable names that you specify can be user-defined variables. A variable mapping feature maps the user-defined variables to required variables.
  7. Click OK. A dialog box message confirms that the report was created successfully.

View Basel II Reports

To view a Basel II report:
  1. Expand the version folder 2013 and the Reports folder.
  2. Right-click the report name and select View Report.
    Note: If user credentials are required, then specify a user ID and password that have permission to access the SAS Content Server.
  3. Use the PDF or RTF viewer to distribute or print a copy of the report.
  4. Close the PDF or RTF viewer.
For a detailed description of the Basel II reports, see Statistical Measures Used in Basel II Reports in SAS Model Manager: User's Guide.
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