Title 
Miscellaneous Downloads 
Miscellaneous Downloads 
This section offers some PowerPoint Slides,
Word Documents, Excel Spreadsheets, and items not otherwise categorized as SAS Code
or VB6 Code. As always, I have to say that these downloads are without warranty and I
accept no liability for their use or installation.

Survey of Scoring Techniques 
This is an excellent discussion of credit scoring techniques covering topics
such as logistic regression, probit regression, neural nets, CART, incorporating economic indictors
in models, profitability scoring, and behavior scoring. At the end of the article, the author
provides a comprehensive list of references.

Stress Test Simulator in SHAZAM 
This is a program written in SHAZAM that estimates a Pooled Cross Section Time
Series Model and simulates the result of a change in employment. The example used
does not represent real data, but is shown for illustration purposes only.

LifeCast Pro Manual 
This is a summary manual for LifeCast Pro for new product forecasting. Even if you
are not interested in purchase, the information provided here may prove interesting.

New Product Diffusion Article 
This is a good 2004 article about forecasting new product launches using diffusion
theory.

LifeCast Pro software update 
This is an upgrade to LifeCast Pro software. It requires a previous version to be already
loaded on your computer.

The Bass Diffusion Model 
This is an Excel file showing you how to develop the Bass model in a spreadsheet. The
Bass Model is often used for forecasting a new product or service.

Case Study in New Product Forecasting 
This document discusses an approach to new product forecasting using the Bass Diffusion
Model and a simulation procedure through Logistic Regression.

Neural Net Primer 
If you have a background in regression and want to learn about neural nets, this
paper is for you. It gives a discussion of neural nets from an econometrics perspective
through a question and answer format. Very useful.

Credit Modeling 
This is an informative discussion of credit modeling that serves as a good introduction
to different best practices in the industry.

New Product Forecasting Presentation 
This is a powerpoint presentation discussing new product forecasting techniques. It was
presented at the IBF conference in 2002.

Forecasting Dictionary 
Here is a dictionary of forecasting terms that is great for including in documentation and
reports.

Reject Inferencing 
This is a discussion of a technique often used in credit
scoring to enhance model accuracy. The paper serves as a good introduction to the subject.

Reject Inferencing 
This paper presents some research that shows reject inferencing is not that bad a problem
if you can increase your sample size as is possible in credit card modeling. This is
an excellent paper and worth reading with practical implications concerning
reject inferencing.

Tobit Alternative: Beta Transform 
Here is an Excel spreadsheet showing the transformation process where
you can more appropriately apply linear regression. Some say you can use this method where
the dependent variable is clustered around upper or lower boundaries. This is seen by some as an alternative to using a Tobit Model. This procedure is used by Moody's
to estimate their LOSSCALC recovery model.

Understanding Basel II in Banking 
Here is a great summary of the Basel II regulatory requirements that will be imposed
on many of the larger banks in the U.S. and worldwide, scheduled to go into effect in
2007. It requires banks to risk rate ALL their loans in order to reduce their capital
requirements.

Good paper on Credit Risk 
Very good summary of History of Credit Risk  mostly consumer based.

Link to Economic Time Series Data 
Good link to Economic data for Modeling  FREE!

SAS Code References for BootStrapping 
Link to SAS code for Bootstrapping

ROC Curve Calculations 
Here is a method for numerically calculating the area under the ROC curve which is
often used to determine the accuarcy of credit scoring models.

Dymnamically Writing SAS Code 
Here is a paper that describes how to use SAS to dynamically write out SAS code. I have
put example code of this type in my SAS download section, but this paper should give a more
detailed discussion of this very important concept.

CART and Logistic Regression 
This is a powerpoint presentation on how to integrate logistic regression with
C.A.R.T. modeling. Makes sense!

Survival Analysis 
This is a good practical discussion of Survival Analysis in SAS.

Survival Analysis 
This is another good practical discussion of Survival Analysis in SAS. Focus here is
Telecommunications.

PROC QLIM in SAS 
SAS has a new procedure called PROC QLIM which can be used for a number of different types
of models including discrete choice and Tobit Regression.

Hybrid Modeling Platform 
This is a powerpoint presentation describing a modeling platform combining VB6 and
SAS. This was presented in St. Pete Florida at the 2003 SEUG conference in September.

Value of Economic Data 
This is a paper presented in the RMA Journal on the role of Economic Data and its
usefulness in Credit Modeling (by Jiong Liu & Xiaoqing Eleanor Xu).

SHAZAM Double Tobit 
This is the programming code, data file, and output for a double sided tobit model in SHAZAM which
will match the output from the SAS double sided tobit model using PROC QLIM that can be
obtained from my SAS download page.

SHAZAM Examples by Greene 
This is a link to SHAZAM programs written to illustrate William Greene's textbook 'Econometric
Analysis' published in 2000. Great resource for econometric analytics!

Portfolio Stress Testing 
Good article on portfolio stress testing.

Portfolio Stress Testing 
Good article on portfolio stress testing.

Portfolio Stress Testing 
Using Pooling in Portfolio Stress Testing.

Vintage Analysis and Macroeconomics 
Vintage Analysis for Mortgage Loans.

Macroeconomic Modeling 
Economic Modeling in Risk Models.

Portfolio Forecasting 
This article compares PD modeling vs. Portfolio modeling using economic data.

Loss Forecasting Techniques 
This article reviews different loss forecasting techniques such as roll rates, econometrics, vintages.

Overview Of Credit Modeling 
This article is a good nontechnical overview of modeling credit data over the entire lifecycle.

Basel II Modeling 
This article is a good technical discussion of modeling Basel PD, LGD, EAD and stress testing. I personally do not agree with trying to incorporate economic data directly in those models, but here is another view.

Explaining Basel II & III 
Good summary of Basel as of 2011.

Logistic Regression in Excel 
You can now do logistic regression in Excel.

Leading Credit Indices 
A good article by the conference board on the development of a leading credit index  soup to nuts.

Impact of Adding a Lagged Dependent Variable 
Great article examining what bad things can happen if you add a lagged dependent variable into your regression equation. It can swamp your other variables if there are trends.

Forecasting implications of log transformations 
Good article looking at the impact of log transformations in forecasting accuracy. End result  no harm done.

Differencing or Levels in Forecasting 
The original article on the subject in 1974. Different schools of thought exist, but they are leaning towards differencing today.

Binning Numeric Variables 
This is a VBA spreadsheet program which allows the user to
interactively produce and collapse bins for modeling purposes. When you pull it up, resave
as a .xlsm file. It also contains a Correlation macro using Excel's Data Analysis Toolkit.
The macro computes pairwise and bivariate correlations and warns users if multicollinearity problems
might exist given certain correlation thresholds.

Binning Categorical Variables 
This is a VBA spreadsheet program which allows the user to
interactively produce and collapse bins for modeling purposes. When you pull it up, resave
as a .xlsm file.

Good Econometric article long run stationarity in forecasting 
Article discusses that when looking at long run trends, it is important to test for
stationarity. Examples include GDP, Industrial Production, and Employment.

How to test differences in proportions 
This is a handy spreadsheet I found that shows you the Excel calculations to test the difference between 2 proportions.
