SAS Documentation
SASĀ® Solution for Stress Testing
Reference manual - version 08.2021
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economic_sim.sas
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1
2/*
3 Copyright (C) 2019 SAS Institute Inc. Cary, NC, USA
4*/
5
6/**
7 \file
8 \brief Credit risk economic_sim table.
9 \details
10
11 |PK |Variable |Type | Required? |Relationships |Label |Description | Required by models |
12 |--------------|---------------------------------------|------------------|-----------|------------------|--------------------------------------------|----------------------------------------------------------------------------------|---------------------------------------------|
13 |![ ](pk.jpg) | <b>REPORTING_DT</b> | NUMERIC(8) | Y | | Reporting Date | SAS Date value | ST - Simulation Based - EC & VaR |
14 | | _DATE_ | NUMERIC(8) | Y | Scenarios | Date | Horizon Date | ST - Simulation Based - EC & VaR |
15 | | SIMULATIONREPLICATION | NUMERIC(8) | Y | Scenarios | Simulation Identifier | Unique identifier for exposure | ST - Simulation Based - EC & VaR |
16 | | SIMULATIONTIME | NUMERIC(8) | Y | Scenarios | Horizon Identifier | Unique identifier for collateral | ST - Simulation Based - EC & VaR |
17 | | CORPORATE_INDEX1 | NUMERIC(8) | N | Scenarios | Corporate Index 1 | Used to randomize the risk factors defined in the scenario data-set | ST - Simulation Based - EC & VaR |
18 | | CORPORATE_INDEX2 | NUMERIC(8) | N | Scenarios | Corporate Index 2 | Used to randomize the risk factors defined in the scenario data-set | ST - Simulation Based - EC & VaR |
19 | | CORPORATE_INDEX3 | NUMERIC(8) | N | Scenarios | Corporate Index 3 | Used to randomize the risk factors defined in the scenario data-set | ST - Simulation Based - EC & VaR |
20 | | GDP_INDEX | NUMERIC(8) | N | Scenarios | GDP Index | Used to randomize the risk factors defined in the scenario data-set | ST - Simulation Based - EC & VaR |
21
22 \ingroup ddlFactCreditRisk
23 \author SAS Institute Inc.
24 \date 2019
25*/
26
27CREATE TABLE &LIBREF..ECONOMIC_SIM (
28 REPORTING_DT DATE label = 'Reporting Date' FORMAT = &DTFMT.,
29 _DATE_ DATE label = 'Date' FORMAT = &DTFMT.,
30 SIMULATIONREPLICATION NUMERIC(8) label = 'Simulation Identifier',
31 SIMULATIONTIME NUMERIC(8) label = 'Horizon Identifier',
32 CORPORATE_INDEX1 NUMERIC(8) label = 'Corporate Index 1',
33 CORPORATE_INDEX2 NUMERIC(8) label = 'Corporate Index 2',
34 CORPORATE_INDEX3 NUMERIC(8) label = 'Corporate Index 3',
35 GDP_INDEX NUMERIC(8) label = 'GDP Index',
36 CONSTRAINT PRIM_KEY PRIMARY KEY (REPORTING_DT, _DATE_, SIMULATIONREPLICATION, SIMULATIONTIME)
37);