{"product_id":"sas-credit-risk-modelling-sameer-shaikh-9798243258890","title":"SAS Credit Risk Modelling - LGD","description":"Introduction\u003cbr\u003e\u003ci\u003eSAS Credit Risk Modelling - LGD: A to Z of LGD Modelling\u003c\/i\u003e\u003cp\u003eLoss Given Default (LGD) is the most end-to-end driven component of credit risk modelling. Unlike PD or EAD, LGD is not a single modelling step-it is a \u003cb\u003ecomplete lifecycle\u003c\/b\u003e that starts with raw data and ends with deployment, monitoring, and regulatory defence.\u003c\/p\u003e\u003cp\u003eMost LGD material available today focuses only on the \u003cb\u003efinal estimation technique\u003c\/b\u003e. It assumes that default definition, recovery construction, discounting, write-offs, restructuring, governance, and deployment are already correct or not critical. In real banks, this assumption is wrong.\u003c\/p\u003e\u003cp\u003eLGD models fail far more often because \u003cb\u003eearlier steps were incomplete or poorly designed\u003c\/b\u003e than because of weak modelling techniques.\u003c\/p\u003e\u003cp\u003eThis book exists to close that gap.\u003c\/p\u003e\u003cp\u003e\u003cb\u003e\u003ci\u003eSAS Credit Risk Modelling - LGD: A to Z of LGD Modelling\u003c\/i\u003e\u003c\/b\u003e is written to cover \u003cb\u003eevery step of LGD credit risk modelling from start to finish\u003c\/b\u003e, exactly as it is performed in real banking environments.\u003c\/p\u003e\u003cbr\u003eWhat \"A to Z\" Means in This Book\u003cp\u003e\"A to Z\" in this book is literal.\u003c\/p\u003e\u003cp\u003eThis book documents the \u003cb\u003eentire LGD lifecycle\u003c\/b\u003e, including steps that are rarely explained together in one place, but are routinely reviewed by validators, auditors, and regulators: \u003c\/p\u003e\u003cul\u003e\n\u003cli\u003e\u003cp\u003eLGD foundations and regulatory context\u003c\/p\u003e\u003c\/li\u003e\n\u003cli\u003e\u003cp\u003eGovernance, ownership, and model lifecycle\u003c\/p\u003e\u003c\/li\u003e\n\u003cli\u003e\u003cp\u003eLGD-specific data architecture and source systems\u003c\/p\u003e\u003c\/li\u003e\n\u003cli\u003e\u003cp\u003eDefault definition and default event construction\u003c\/p\u003e\u003c\/li\u003e\n\u003cli\u003e\u003cp\u003eRecovery cashflow identification and validation\u003c\/p\u003e\u003c\/li\u003e\n\u003cli\u003e\u003cp\u003eRecovery timing and present-value discounting\u003c\/p\u003e\u003c\/li\u003e\n\u003cli\u003e\u003cp\u003eWrite-offs, collateral haircuts, and net recovery\u003c\/p\u003e\u003c\/li\u003e\n\u003cli\u003e\u003cp\u003eRestructuring and forbearance treatment\u003c\/p\u003e\u003c\/li\u003e\n\u003cli\u003e\u003cp\u003eObserved LGD target construction\u003c\/p\u003e\u003c\/li\u003e\n\u003cli\u003e\u003cp\u003eObservation and recovery windows\u003c\/p\u003e\u003c\/li\u003e\n\u003cli\u003e\u003cp\u003eLGD-specific feature engineering\u003c\/p\u003e\u003c\/li\u003e\n\u003cli\u003e\u003cp\u003eBinning and variable reduction for LGD\u003c\/p\u003e\u003c\/li\u003e\n\u003cli\u003e\u003cp\u003eStability and leakage checks\u003c\/p\u003e\u003c\/li\u003e\n\u003cli\u003e\u003cp\u003eLGD modelling techniques used in banks\u003c\/p\u003e\u003c\/li\u003e\n\u003cli\u003e\u003cp\u003eFull SAS implementation and reproducibility\u003c\/p\u003e\u003c\/li\u003e\n\u003cli\u003e\u003cp\u003eValidation, calibration, downturn LGD, and stress testing\u003c\/p\u003e\u003c\/li\u003e\n\u003cli\u003e\u003cp\u003eDeployment, monitoring, and recalibration\u003c\/p\u003e\u003c\/li\u003e\n\u003cli\u003e\u003cp\u003eIntegration with PD, EAD, IFRS 9, and Basel\u003c\/p\u003e\u003c\/li\u003e\n\u003cli\u003e\u003cp\u003eA complete end-to-end bank-style case study\u003c\/p\u003e\u003c\/li\u003e\n\u003c\/ul\u003e\u003cp\u003eEvery stage that materially affects LGD outcomes is covered.\u003c\/p\u003e\u003cbr\u003eWhy This Book Is Different\u003cp\u003eThis book does not isolate LGD modelling from the processes around it.\u003cbr\u003eIt treats LGD as a \u003cb\u003esystem\u003c\/b\u003e, not a formula.\u003c\/p\u003e\u003cp\u003eIt explains not only \u003ci\u003ehow\u003c\/i\u003e each step is done, but \u003ci\u003ewhy\u003c\/i\u003e banks do it that way-and what goes wrong when they don't.\u003c\/p\u003e\u003cp\u003eAll examples are \u003cb\u003esynthetic and fictional\u003c\/b\u003e, but the workflows, controls, and decisions reflect \u003cb\u003ereal banking practice\u003c\/b\u003e.\u003c\/p\u003e\u003cbr\u003eWhy This Book Uses SAS\u003cp\u003eLGD models in real banks are built and governed in \u003cb\u003eSAS environments\u003c\/b\u003e because of transparency, auditability, and regulator acceptance.\u003cbr\u003eThis book therefore uses \u003cb\u003eclear, production-style SAS code\u003c\/b\u003e throughout, with no black boxes and no unexplained shortcuts.\u003c\/p\u003e\u003cbr\u003eHow to Read This Book\u003cp\u003eThis book is designed to be read \u003cb\u003esequentially\u003c\/b\u003e.\u003cbr\u003eLGD is cumulative-each step depends on earlier decisions. Skipping chapters risks misunderstanding downstream logic, just as in real LGD projects.\u003c\/p\u003e\u003cbr\u003eFinal Note\u003cp\u003eThis book is written for practitioners who want to understand LGD \u003cb\u003eA to Z\u003c\/b\u003e, not just how to estimate it, but how to \u003cb\u003ebuild, validate, deploy, monitor, and defend it in real banks\u003c\/b\u003e.\u003c\/p\u003e\u003cp\u003eEverything that follows is designed for that purpose.\u003c\/p\u003e\u003cbr\u003e\u003cbr\u003e\u003cb\u003eAuthor:\u003c\/b\u003e Sameer Shaikh\u003cbr\u003e\u003cb\u003eISBN-13:\u003c\/b\u003e 9798243258890\u003cbr\u003e\u003cb\u003ePublisher:\u003c\/b\u003e Independently Published\u003cbr\u003e\u003cb\u003eLanguage:\u003c\/b\u003e English\u003cbr\u003e\u003cb\u003ePublished:\u003c\/b\u003e 01\/09\/2026\u003cbr\u003e\u003cb\u003ePages:\u003c\/b\u003e 340\u003cbr\u003e\u003cb\u003eFormat:\u003c\/b\u003e Paperback\u003cbr\u003e\u003cb\u003eWeight:\u003c\/b\u003e 0.91lbs\u003cbr\u003e\u003cb\u003eSize:\u003c\/b\u003e 9.00h x 6.00w x 0.85d","brand":"Sameer Shaikh","offers":[{"title":"Paperback","offer_id":50546363498751,"sku":"9798243258890","price":14.0,"currency_code":"USD","in_stock":true}],"url":"https:\/\/www.whiterainbookhouse.com\/products\/sas-credit-risk-modelling-sameer-shaikh-9798243258890","provider":"WR Book House","version":"1.0","type":"link"}