Model building (credit scoring) - logistic regression

models using SAS

 Theory
 SAS commands and deep dive into SAS output (excel computation)
 Excel data for model development
 Detail explanation of model development steps
 Word document containing step by step SAS commands
 Excel document containing step by step SAS output

4/18/2014 7:31 AM Created by – Gopal Prasad Malakar 1

 Course Outline Agenda

 Section 1 - introduction to modeling

 What is a score, a model and modeling
 Why it is needed / What benefit it brings
 Various types of application of method / scores
 Section 2 – Data design for modeling
 Various terms associated – like historical window, performance window,
good, bad, inderminate etc.
 General precaution about data design for model building
 Various types of performance window
 How to decide about the performance window
 Section 3 – Data sanity check
 Various commands of SAS – used for data audit
 Deep dive into SAS output – excel replication of calculations
 Section 4 – Variable selection process
 How to find significant categorical variables (theory and SAS commands)
 Introduction to dataset – SAS example
4/18/2014 7:31 AM Created by – Gopal Prasad Malakar 2
 Course Outline Agenda

 Section 4 – Variable selection process

 Indicator variable creation– SAS example
 Finding important numeric variables – theory, SAS syntax and data example
 Section 5 – Detecting and dealing with multi collinearity
 Multi collinearity detection, precaution, SAS syntax and data example
 How to know collinear variables
 How to decide which one to keep
 Section 6 – Understand logistic regression output
 Various section of output- Model Information, Model fit statistics etc.
 Some calculations by hand
 Section 7 – Model validation and Iterations for model
 Various techniques of model validations (coefficient stability check, scoring)
 Deep dive into power of a model (separation of good , bad etc.)
 KS statistics and computation
 Gini statistics and computation

4/18/2014 7:31 AM Created by – Gopal Prasad Malakar 3