With increasing regulatory emphasis on using more scientific statistical processes and procedures in the Bank Secrecy Act/Anti-Money Laundering (BSA/AML) compliance space, financial institutions are being pressured to replace their heuristic, rule-based customer risk rating models with well-established, academically supported, statistically based models. As part of their customer-enhanced due diligence, firms are expected to both rate and monitor every customer for the overall risk that the customer poses. Firms with ineffective customer risk rating models can face regulatory enforcement actions such as matters requiring attention (MRAs); the Office of the Comptroller of the Currency (OCC) can issue consent orders for federally chartered banks; and the Federal Deposit Insurance Corporation (FDIC) can take similar actions against state-chartered banks. Although there is a reasonable amount of information available that discusses the use of statistically based models and adherence to the OCC bulletin Supervisory Guidance on Model Risk Management (OCC 2011-12), there is only limited material about the specific statistical techniques that financial institutions can use to rate customer risk. This paper discusses some of these techniques; compares heuristic, rule-based models and statistically based models; and suggests ordinal logistic regression as an effective statistical modeling technique for assessing customer BSA/AML compliance risk. In discussing the ordinal logistic regression model, the paper addresses data quality and the selection of customer risk attributes, as well as the importance of following the OCC's key concepts for developing and managing an effective model risk management framework. Many statistical models can be used to assign customer risk, but logistic regression, and in this case ordinal logistic regression, is a fairly common and robust statistical method of assigning customers to ordered classifications (such as Low, Medium, High-Low, High-Medium, and High-High risk). Using ordinal logistic regression, a financial institution can create a customer risk rating model that is effective in assigning risk, justifiable to regulators, and relatively easy to update, validate, and maintain.

The importance of econometrics in the analytics toolkit is increasing every day. Econometric modeling helps uncover structural relationships in observational data. This paper highlights the many recent changes to the SAS/ETS^® portfolio that increase your power to explain the past and predict the future. Examples show how you can use Bayesian regression tools for price elasticity modeling, use state space models to gain insight from inconsistent time series, use panel data methods to help control for unobserved confounding effects, and much more.

In many spatial analysis applications (including crime analysis, epidemiology, ecology, and forestry), spatial point process modeling can help you study the interaction between different events and help you model the process intensity (the rate of event occurrence per unit area). For example, crime analysts might want to estimate where crimes are likely to occur in a city and whether they are associated with locations of public features such as bars and bus stops. Forestry researchers might want to estimate where trees grow best and test for association with covariates such as elevation and gradient. This paper describes the SPP procedure, new in SAS/STAT^® 13.2, for exploring and modeling spatial point pattern data. It describes methods that PROC SPP implements for exploratory analysis of spatial point patterns and for log-linear intensity modeling that uses covariates. It also shows you how to use specialized functions for studying interactions between points and how to use specialized analytical graphics to diagnose log-linear models of spatial intensity. Crime analysis, forestry, and ecology examples demonstrate key features of PROC SPP.

The Ebola virus outbreak is producing some of the most significant and fastest trending news throughout the globe today. There is a lot of buzz surrounding the deadly disease and the drastic consequences that it potentially poses to mankind. Social media provides the basic platforms for millions of people to discuss the issue and allows them to openly voice their opinions. There has been a significant increase in the magnitude of responses all over the world since the death of an Ebola patient in a Dallas, Texas hospital. In this paper, we aim to analyze the overall sentiment that is prevailing in the world of social media. For this, we extracted the live streaming data from Twitter at two different times using the Python scripting language. One instance relates to the period before the death of the patient, and the other relates to the period after the death. We used SAS^® Text Miner nodes to parse, filter, and analyze the data and to get a feel for the patterns that exist in the tweets. We then used SAS^® Sentiment Analysis Studio to further analyze and predict the sentiment of the Ebola outbreak in the United States. In our results, we found that the issue was not taken very seriously until the death of the Ebola patient in Dallas. After the death, we found that prominent personalities across the globe were talking about the disease and then raised funds to fight it. We are continuing to collect tweets. We analyze the locations of the tweets to produce a heat map that corresponds to the intensity of the varying sentiment across locations.

The use of administrative databases for understanding practice patterns in the real world has become increasingly apparent. This is essential in the current health-care environment. The Affordable Care Act has helped us to better understand the current use of technology and different approaches to surgery. This paper describes a method for extracting specific information about surgical procedures from the Healthcare Cost and Utilization Project (HCUP) database (also referred to as the National (Nationwide) Inpatient Sample (NIS)).The analyses provide a framework for comparing the different modalities of surgerical procedures of interest. Using an NIS database for a single year, we want to identify cohorts based on surgical approach. We do this by identifying the ICD-9 codes specific to robotic surgery, laparoscopic surgery, and open surgery. After we identify the appropriate codes using an ARRAY statement, a similar array is created based on the ICD-9 codes. Any minimally invasive procedure (robotic or laparoscopic) that results in a conversion is flagged as a conversion. Comorbidities are identified by ICD-9 codes representing the severity of each subject and merged with the NIS inpatient core file. Using a FORMAT statement for all diagnosis variables, we create macros that can be regenerated for each type of complication. These created macros are compiled in SAS^® and stored in the library that contains the four macros that are called by tables. They call the macros for different macros variables. In addition, they create the frequencies of all cohorts and create the table structure with the title and number of the table. This paper describes a systematic method in SAS/STAT^® 9.2 to extract the data from NIS using the ARRAY statement for the specific ICD-9 codes, to format the extracted data for the analysis, to merge the different NIS databases by procedures, and to use automatic macros to generate the report.

Many organizations need to forecast large numbers of time series that are discretely valued. These series, called count series, fall approximately between continuously valued time series, for which there are many forecasting techniques (ARIMA, UCM, ESM, and others), and intermittent time series, for which there are a few forecasting techniques (Croston's method and others). This paper proposes a technique for large-scale automatic count series forecasting and uses SAS^® Forecast Server and SAS/ETS^® software to demonstrate this technique.

In today's competitive world, acquiring new customers is crucial for businesses but what if most of the acquired customers turn out to be defaulters? This decision would backfire on the business and might lead to losses. The extant statistical methods have enabled businesses to identify good risk customers rather than intuitively judging them. The objective of this paper is to build a credit risk scorecard using the Credit Risk Node inside SAS^® Enterprise Miner™ 12.3, which can be used by a manager to make an instant decision on whether to accept or reject a customer's credit application. The data set used for credit scoring was extracted from UCI Machine Learning repository and consisted of 15 variables that capture details such as status of customer's existing checking account, purpose of the credit, credit amount, employment status, and property. To ensure generalization of the model, the data set has been partitioned using the data partition node in two groups of 70:30 as training and validation respectively. The target is a binary variable, which categorizes customers into good risk and bad risk group. After identifying the key variables required to generate the credit scorecard, a particular score was assigned to each of its sub groups. The final model generating the scorecard has a prediction accuracy of about 75%. A cumulative cut-off score of 120 was generated by SAS to make the demarcation between good and bad risk customers. Even in case of future variations in the data, model refinement is easy as the whole process is already defined and does not need to be rebuilt from scratch.

Statistical analysis that uses data from clinical or epidemiological studies include continuous variables such as patient's age, blood pressure, and various biomarkers. Over the years, there has been an increase in studies that focus on assessing associations between biomarkers and disease of interest. Many of the biomarkers are measured as continuous variables. Investigators seek to identify the possible cutpoint to classify patients as high risk versus low risk based on the value of the biomarker. Several data-oriented techniques such as median and upper quartile, and outcome-oriented techniques based on score, Wald, and likelihood ratio tests are commonly used in the literature. Contal and O'Quigley (1999) presented a technique that used log rank test statistic in order to estimate the cutpoint. Their method was computationally intensive and hence was overlooked due to the unavailability of built-in options in standard statistical software. In 2003, we provided the %FINDCUT macro that used Contal and O'Quigley's approach to identify a cutpoint when the outcome of interest was measured as time to event. Over the past decade, demand for this macro has continued to grow, which has led us to consider updating the %FINDCUT macro to incorporate new tools and procedures from SAS^® such as array processing, Graph Template Language, and the REPORT procedure. New and updated features include: results presented in a much cleaner report format, user-specified cutpoints, macro parameter error checking, temporary data set cleanup, preserving current option settings, and increased processing speed. We present the utility and added options of the revised %FINDCUT macro using a real-life data set. In addition, we critically compare this method to some of the existing methods and discuss the use and misuse of categorizing a continuous covariate.

Data sharing through healthcare collaboratives and national registries creates opportunities for secondary data analysis projects. These initiatives provide data for quality comparisons as well as endless research opportunities to external researchers across the country. The possibilities are bountiful when you join data from diverse organizations and look for common themes related to illnesses and patient outcomes. With these great opportunities comes great pain for data analysts and health services researchers tasked with compiling these data sets according to specifications. Patient care data is complex, and, particularly at large healthcare systems, might be managed with multiple electronic health record (EHR) systems. Matching data from separate EHR systems while simultaneously ensuring the integrity of the details of that care visit is challenging. This paper demonstrates how data management personnel can use traditional SAS PROCs in new and inventive ways to compile, clean, and complete data sets for submission to healthcare collaboratives and other data sharing initiatives. Traditional data matching methods such as SPEDIS are uniquely combined with iterative SQL joins using the SAS^® functions INDEX, COMPRESS, CATX, and SUBSTR to yield the most out of complex patient and physician name matches. Recoding, correcting missing items, and formatting data can be efficiently achieved by using traditional functions such as MAX, PROC FORMAT, and FIND in new and inventive ways.

While there has been tremendous progress in technologies related to data storage, high-performance computing, and advanced analytic techniques, organizations have only recently begun to comprehend the importance of parallel strategies that help manage the cacophony of concerns around access, quality, provenance, data sharing, and use. While data governance is not new, the drumbeat around it, along with master data management and data quality, is approaching a crescendo. Intensified by the increase in consumption of information, expectations about ubiquitous access, and highly dynamic visualizations, these factors are also circumscribed by security and regulatory constraints. In this paper, we provide a summary of what data governance is and its importance. We go beyond the obvious and provide practical guidance on what it takes to build out a data governance capability appropriate to the scale, size, and purpose of the organization and its culture. Moreover, we discuss best practices in the form of requirements that highlight what we think is important to consider as you provide that tactical linkage between people, policies, and processes to the actual data lifecycle. To that end, our focus includes the organization and its culture, people, processes, policies, and technology. Further, we include discussions of organizational models as well as the role of the data steward, and provide guidance on how to formalize data governance into a sustainable set of practices within your organization.

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SAS^® University Edition is a great addition to the world of freely available analytic software, and this 'how-to' presentation shows you how to implement a discrete event simulation using Base SAS^® to model future US Veterans population distributions. Features include generating a slideshow using ODS output to PowerPoint.

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The research areas of pharmaceuticals and oncology clinical trials greatly depend on time-to-event endpoints such as overall survival and progression-free survival. One of the best graphical displays of these analyses is the Kaplan-Meier curve, which can be simple to generate with the LIFETEST procedure but difficult to customize. Journal articles generally prefer that statistics such as median time-to-event, number of patients, and time-point event-free rate estimates be displayed within the graphic itself, and this was previously difficult to do without an external program such as Microsoft Excel. The macro %NEWSURV takes advantage of the Graph Template Language (GTL) that was added with the SG graphics engine to create this level of customizability without the need for back-end manipulation. Taking this one step further, the macro was improved to be able to generate a lattice of multiple unique Kaplan-Meier curves for side-by-side comparisons or for condensing figures for publications. This paper describes the functionality of the macro and describes how the key elements of the macro work.

Customer Long-Term Value (LTV) is a concept that is readily explained at a high level to marketing management of a company, but its analytic development is complex. This complexity involves the need to forecast customer behavior well into the future. This behavior includes the timing, frequency, and profitability of a customer's future purchases of products and services. This paper describes a method for computing LTV. First, a multinomial logistic regression provides probabilities for time-of-first-purchase, time-of-second-purchase, and so on, for each customer. Then the profits for the first purchase, second purchase, and so on, are forecast but only after adjustment for non-purchaser selection bias. Finally, these component models are combined in the LTV formula.

Differential item functioning (DIF), as an assessment tool, has been widely used in quantitative psychology, educational measurement, business management, insurance, and health care. The purpose of DIF analysis is to detect response differences of items in questionnaires, rating scales, or tests across different subgroups (for example, gender) and to ensure the fairness and validity of each item for those subgroups. The goal of this paper is to demonstrate several ways to conduct DIF analysis by using different SAS^® procedures (PROC FREQ, PROC LOGISITC, PROC GENMOD, PROC GLIMMIX, and PROC NLMIXED) and their applications. There are three general methods to examine DIF: generalized Mantel-Haenszel (MH), logistic regression, and item response theory (IRT). The SAS^® System provides flexible procedures for all these approaches. There are two types of DIF: uniform DIF, which remains consistent across ability levels, and non-uniform DIF, which varies across ability levels. Generalized MH is a nonparametric method and is often used to detect uniform DIF while the other two are parametric methods and examine both uniform and non-uniform DIF. In this study, I first describe the underlying theories and mathematical formulations for each method. Then I show the SAS statements, input data format, and SAS output for each method, followed by a detailed demonstration of the differences among the three methods. Specifically, PROC FREQ is used to calculate generalized MH only for dichotomous items. PROC LOGISITIC and PROC GENMOD are used to detect DIF by using logistic regression. PROC NLMIXED and PROC GLIMMIX are used to examine DIF by applying an exploratory item response theory model. Finally, I use SAS/IML^® to call two R packages (that is, difR and lordif) to conduct DIF analysis and then compare the results between SAS procedures and R packages. An example data set, the Verbal Aggression assessment, which includes 316 subjects and 24 items, is used in this stud y. Following the general DIF analysis, the male group is used as the reference group, and the female group is used as the focal group. All the analyses are conducted by SAS^® 9.3 and R 2.15.3. The paper closes with the conclusion that the SAS System provides different flexible and efficient ways to conduct DIF analysis. However, it is essential for SAS users to understand the underlying theories and assumptions of different DIF methods and apply them appropriately in their DIF analyses.

Researchers, patients, clinicians, and other health-care industry participants are forging new models for data-sharing in hopes that the quantity, diversity, and analytic potential of health-related data for research and practice will yield new opportunities for innovation in basic and translational science. Whether we are talking about medical records (for example, EHR, lab, notes), administrative data (claims and billing), social (on-line activity), behavioral (fitness trackers, purchasing patterns), contextual (geographic, environmental), or demographic data (genomics, proteomics), it is clear that as health-care data proliferates, threats to security grow. Beginning with a review of the major health-care data breeches in our recent history, we highlight some of the lessons that can be gleaned from these incidents. In this paper, we talk about the practical implications of data sharing and how to ensure that only the right people have the right access to the right level of data. To that end, we explore not only the definitions of concepts like data privacy, but we discuss, in detail, methods that can be used to protect data--whether inside our organization or beyond its walls. In this discussion, we cover the fundamental differences between encrypted data, 'de-identified', 'anonymous', and 'coded' data, and methods to implement each. We summarize the landscape of maturity models that can be used to benchmark your organization's data privacy and protection of sensitive data.

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Inpatient treatment is the most common type of treatment ordered for patients who have a serious ailment and need immediate attention. Using a data set about diabetes patients downloaded from the UCI Network Data Repository, we built a model to predict the probability that the patient will be rehospitalized within 30 days of discharge. The data has about 100,000 rows and 51 columns. In our preliminary analysis, a neural network turned out to be the best model, followed closely by the decision tree model and regression model.

To stay competitive in the marketplace, health-care programs must be capable of reporting the true savings to clients. This is a tall order, because most health-care programs are set up to be available to the client's entire population and thus cannot be conducted as a randomized control trial. In order to evaluate the performance of the program for the client, we use an observational study design that has inherent selection bias due to its inability to randomly assign participants. To reduce the impact of bias, we apply propensity score matching to the analysis. This technique is beneficial to health-care program evaluations because it helps reduce selection bias in the observational analysis and in turn provides a clearer view of the client's savings. This paper explores how to develop a propensity score, evaluate the use of inverse propensity weighting versus propensity matching, and determine the overall impact of the propensity score matching method on the observational study population. All results shown are drawn from a savings analysis using a participant (cases) versus non-participant (controls) observational study design for a health-care decision support program aiming to reduce emergency room visits.

As a part of regulatory compliance requirements, banks are required to submit reports based on Microsoft Excel, as per templates supplied by the regulators. This poses several challenges, including the high complexity of templates, the fact that implementation using ODS can be cumbersome, and the difficulty in keeping up with regulatory changes and supporting dynamic report content. At the same time, you need the flexibility to customize and schedule these reports as per your business requirements. This paper discusses an approach to building these reports using SAS^® XML Mapper and the Excel XML spreadsheet format. This approach provides an easy-to-use framework that can accommodate template changes from the regulators without needing to modify the code. It is implemented using SAS^® technologies, providing you the flexibility to customize to your needs. This approach also provides easy maintainability.

As a consequence of the financial crisis, banks are required to stress test their balance sheet and earnings based on prescribed macroeconomic scenarios. In the US, this exercise is known as the Comprehensive Capital Analysis and Review (CCAR) or Dodd-Frank Act Stress Testing (DFAST). In order to assess capital adequacy under these stress scenarios, banks need a unified view of their projected balance sheet, incomes, and losses. In addition, the bar for these regulatory stress tests is very high regarding governance and overall infrastructure. Regulators and auditors want to ensure that the granularity and quality of data, model methodology, and assumptions reflect the complexity of the banks. This calls for close internal collaboration and information sharing across business lines, risk management, and finance. Currently, this process is managed in an ad hoc, manual fashion. Results are aggregated from various lines of business using spreadsheets and Microsoft SharePoint. Although the spreadsheet option provides flexibility, it brings ambiguity into the process and makes the process error prone and inefficient. This paper introduces a new SAS^® stress testing solution that can help banks define, orchestrate and streamline the stress-testing process for easier traceability, auditability, and reproducibility. The integrated platform provides greater control, efficiency, and transparency to the CCAR process. This will enable banks to focus on more value-added analysis such as scenario exploration, sensitivity analysis, capital planning and management, and model dependencies. Lastly, the solution was designed to leverage existing in-house platforms that banks might already have in place.

A leading killer in the United States is smoking. Moreover, over 8.6 million Americans live with a serious illness caused by smoking or second-hand smoking. Despite this, over 46.6 million U.S. adults smoke tobacco, cigars, and pipes. The key analytic question in this paper is, How would e-cigarettes affect this public health situation? Can monitoring public opinions of e-cigarettes using SAS^® Text Analytics and SAS^® Visual Analytics help provide insight into the potential dangers of these new products? Are e-cigarettes an example of Big Tobacco up to its old tricks or, in fact, a cessation product? The research in this paper was conducted on thousands of tweets from April to August 2014. It includes API sources beyond Twitter--for example, indicators from the Health Indicators Warehouse (HIW) of the Centers for Disease Control and Prevention (CDC)--that were used to enrich Twitter data in order to implement a surveillance system developed by SAS^® for the CDC. The analysis is especially important to The Office of Smoking and Health (OSH) at the CDC, which is responsible for tobacco control initiatives that help states to promote cessation and prevent initiation in young people. To help the CDC succeed with these initiatives, the surveillance system also: 1) automates the acquisition of data, especially tweets; and 2) applies text analytics to categorize these tweets using a taxonomy that provides the CDC with insights into a variety of relevant subjects. Twitter text data can help the CDC look at the public response to the use of e-cigarettes, and examine general discussions regarding smoking and public health, and potential controversies (involving tobacco exposure to children, increasing government regulations, and so on). SAS^® Content Categorization helps health care analysts review large volumes of unstructured data by categorizing tweets in order to monitor and follow what people are saying and why they are saying it. Ultimatel y, it is a solution intended to help the CDC monitor the public's perception of the dangers of smoking and e-cigarettes, in addition, it can identify areas where OSH can focus its attention in order to fulfill its mission and track the success of CDC health initiatives.

Sampling for audits and forensics presents special challenges: Each survey/sample item requires examination by a team of professionals, so sample size must be contained. Surveys involve estimating--not hypothesis testing. So power is not a helpful concept. Stratification and modeling is often required to keep sampling distributions from being skewed. A precision of alpha is not required to create a confidence interval of 1-alpha, but how small a sample is supportable? Many times replicated sampling is required to prove the applicability of the design. Given the robust, programming-oriented approach of SAS^®, the random selection, stratification, and optimizing techniques built into SAS can be used to bring transparency and reliability to the sample design process. While a sample that is used in a published audit or as a measure of financial damages must endure a special scrutiny, it can be a rewarding process to design a sample whose performance you truly understand and which will stand up under a challenge.

The vast and increasing demands of fraud detection and description have promoted the broad application of statistics and machine learning in fields as diverse as banking, credit card application and usage, insurance claims, trader surveillance, health care claims, and government funding and allowance management. SAS^® Visual Scenario Designer enables you to derive interactive business rules, along with descriptive and predictive models, to detect and describe fraud. This paper focuses on building interactive decision trees to classify fraud. Attention to optimizing the feature space (candidate predictors) prior to modeling is also covered. Because big data plays an increasingly vital role in fraud detection and description, SAS Visual Scenario Designer leverages the in-memory, parallel, and distributed computing abilities of SAS^® LASR™ Analytic Server as a back end to support real-time performance on massive amounts of data.

The unsustainable trend in healthcare costs has led to efforts to shift some healthcare services to less expensive sites of care. In North Carolina, the expansion of urgent care centers introduces the possibility that non-emergent and non-life threatening conditions can be treated at a less intensive care setting. BCBSNC conducted a longitudinal study of density of urgent care centers, primary care providers, and emergency departments, and the differences in how members access care near those locations. This talk focuses on several analytic techniques that were considered for the analysis. The model needed to account for the complex relationship between the changes in the population (including health conditions and health insurance benefits) and the changes in the types of services and supply of services offered by healthcare providers proximal to them. Results for the chosen methodology are discussed.

Many epidemiological studies use medical claims to identify and describe a population. But finding out who was diagnosed, and who received treatment, isn't always simple. Each claim can have dozens of medical codes, with different types of codes for procedures, drugs, and diagnoses. Even a basic definition of treatment could require a search for any one of 100 different codes. A SAS^® macro may come to mind, but generalizing the macro to work with different codes and types allows it to be reused in a variety of different scenarios. We look at a number of examples, starting with a single code type and variable. Then we consider multiple code variables, multiple code types, and multiple flag variables. We show how these macros can be combined and customized for different data with minimal rework. Macro flexibility and reusability are also discussed, along with ways to keep our list of medical codes separate from our program. Finally, we discuss time-dependent medical codes, codes requiring database lookup, and macro performance.

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Many SAS^® procedures can be used to analyze longitudinal data. This study employed a multisite randomized controlled trial design to demonstrate the effectiveness of two SAS procedures, GLIMMIX and GENMOD, to analyze longitudinal data from five Department of Veterans Affairs Medical Centers (VAMCs). Older male veterans (n = 1222) seen in VAMC primary care clinics were randomly assigned to two behavioral health models, integrated (n = 605) and enhanced referral (n = 617). Data was collected at baseline, and at 3-, 6-, and 12- month follow-up. A mixed-effects repeated measures model was used to examine the dependent variable, problem drinking, which was defined as count and dichotomous from baseline to 12 month follow-up. Sociodemographics and depressive symptoms were included as covariates. First, bivariate analyses included general linear model and chi-square tests to examine covariates by group and group by problem drinking outcomes. All significant covariates were included in the GLIMMIX and GENMOD models. Then, multivariate analysis included mixed models with Generalized Estimation Equations (GEEs). The effect of group, time, and the interaction effect of group by time were examined after controlling for covariates. Multivariate results were inconsistent for GLIMMIX and GENMOD using Lognormal, Gaussian, Weibull, and Gamma distributions. SAS is a powerful statistical program in data analyses for longitudinal study.

Competing risks arise in studies in which individuals are subject to a number of potential failure events and the occurrence of one event might impede the occurrence of other events. For example, after a bone marrow transplant, a patient might experience a relapse or might die while in remission. You can use one of the standard methods of survival analysis, such as the log-rank test or Cox regression, to analyze competing-risks data, whereas other methods, such as the product-limit estimator, might yield biased results. An increasingly common practice of assessing the probability of a failure in competing-risks analysis is to estimate the cumulative incidence function, which is the probability subdistribution function of failure from a specific cause. This paper discusses two commonly used regression approaches for evaluating the relationship of the covariates to the cause-specific failure in competing-risks data. One approach models the cause-specific hazard, and the other models the cumulative incidence. The paper shows how to use the PHREG procedure in SAS/STAT^® software to fit these models.

A bank that wants to use the Internal Ratings Based (IRB) methods to calculate minimum Basel capital requirements has to calculate default probabilities (PDs) for all its obligors. Supervisors are mainly concerned about the credit risk being underestimated. For high-quality exposures or groups with an insufficient number of obligors, calculations based on historical data may not be sufficiently reliable due to infrequent or no observed defaults. In an effort to solve the problem of default data scarcity, modeling assumptions are made, and to control the possibility of model risk, a high level of conservatism is applied. Banks, on the other hand, are more concerned about PDs that are too pessimistic, since this has an impact on their pricing and economic capital. In small samples or where we have little or no defaults, the data provides very little information about the parameters of interest. The incorporation of prior information or expert judgment and using Bayesian parameter estimation can potentially be a very useful approach in a situation like this. Using PROC MCMC, we show that a Bayesian approach can serve as a valuable tool for validation and monitoring of PD models for low default portfolios (LDPs). We cover cases ranging from single-period, zero correlation, and zero observed defaults to multi-period, non-zero correlation, and few observed defaults.

Working with multiple data sources in SAS^® was not a straight forward thing until PROC FEDSQL was introduced in the SAS^® 9.4 release. Federated Query Language, or FEDSQL, is a vendor-independent language that provides a common SQL syntax to communicate across multiple relational databases without having to worry about vendor-specific SQL syntax. PROC FEDSQL is a SAS implementation of the FEDSQL language. PROC FEDSQL enables us to write federated queries that can be used to perform joins on tables from different databases with a single query, without having to worry about loading the tables into SAS individually and combining them using DATA steps and PROC SQL statements. The objective of this paper is to demonstrate the working of PROC FEDSQL to fetch data from multiple data sources such as Microsoft SQL Server database, MySQL database, and a SAS data set, and run federated queries on all the data sources. Other powerful features of PROC FEDSQL such as transactions and FEDSQL pass-through facility are discussed briefly.