Top 10 most exciting new features in SAS 9.3 The era of SAS 9.3 arrives this summer. As a keen SAS user, I look forward to trying ten new features of SAS 9.3, disclosed by its online documents and Rick’s recent blog posts(his first post and his second post).1. PROC GROOVYSAS 9.3 ships with PROC GROOVY, a procedure designed to run Groovy statement within SAS. Groovy is one of many Java’s derivatives and a dynamic typing language. It seems that by its ADD statement PROC GROOVY can invoke Java’s classes and libraries. If so, it may extend the application of SAS to much broader areas. I am interested in ...
SAS dataset declassified by Matt Shotwell Matt Shotwell’s new R package ‘sas7bdat’ is a great achievement to bridge SAS and R. Earlier this year Revolution R, a commercial competitor against SAS, launched a RxSasData() function to read SAS’s unique ‘sas7bdat’ data structure. However, we more like the free lunch provided by the community R. Now R would have a free access toward SAS’s datasets, including many SAS’s own help datasets. And we will be able to do a lot of tricks toward SAS’s datasets powered by R, in many areas where SAS can’t reach or we didn’t pay the licenses. For example, SAS has a SASHELP.LAKE ...
Semiparametric methods in predicting loss given default Sparse data is a big concern in building models for loss given default (LGD) for corporate risk. For LGD, most predictors are instrument-related, firm-specific, macroeconomic and industry-specific variables, while the costs to collect such data may be relatively high. In one example of Gunter and Peter’s book, industry-wise average default rate, yearly average default rate, firm-wise leverage rate were applied to predict LGD. To increase the predictability, the painful transformation of LGD was conducted [Ref. 1]. Actually some non-linear models could be considered. In a conference paper about consumer risk scoring, Wensui mentioned that generalized additive model (GAM) provides the ...
Credit default swap pricing by PROC FCMP Sometimes I feel curious about how running a simple VBA macro in Excel could beat my 8-core desktop to indefinite waiting time with 100% CPU usage. On those occasions, I wish SAS could be a rescue, since I am more familiar and confident with SAS. The good news is that in SAS 9.2, many essential Excel functions were translated by Proc FCMP and stored in a built-in dataset named sashelp.slkwxl. Then it will be more convenient for Proc FCMP to port code from Excel to SAS as a bridge. The sashelp.slkwxl dataset contains 41 functions derived from Excel as below:Type ...
Proc Fcmp(4): Binomial tree vs. Black-Scholes model   The very truth is that SAS has limited financial functions. Thanks to SAS Institute, they finally added some option pricing functions in the base module of SAS 9.2, such as Black-Scholes put/call functions, Garman-Kohlhagen put/call functions, etc. Thus, the number of financial functions in the SAS toolbox adds up to more than 20 now.Functions made easy by Proc Fcmp. In the finance’s brave new world of functions, financial function is ammo in a war. A unique and resourceful stockpile of functions is desired. Previously, in SAS, macro may seem like a reasonable substitute. However, when we deal with situations like ...