SAS risk engine Risk Dimensions provides you with a special environment for econometric modeling useful in quantitative finance to represent and analyze the evolution of risk factors. This can be applied for instance in the valuation of derivatives via Monte Carlo Simulation, in the generation of the exposure profile for counterparty risk, to generate stress test scenarios for credit risk based on macroeconomic factors or to build behavioral models for liquidity risk. Learn how to:
Define and fit simple models
Run forecasts and generate scenarios.
Introduction to the base syntax of the model procedure
Fit statement: define and fit a simple model
Solve statement: generate scenarios and forecasts
General options: estimation methods, minimization process, manage error distributions and other