SAS Documentation
SASĀ® Solution for Stress Testing
Reference manual - version 08.2021
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Portfolio and Counterparty Data
+ Collaboration diagram for Portfolio and Counterparty Data:

Files

file  cashflow.sas
 Cashflow table.
 
file  collateral.sas
 Credit risk collateral table.
 
file  counterparty.sas
 Counterparty table.
 
file  credit_portfolio.sas
 Credit risk portfolio table.
 
file  credit_synth_portfolio.sas
 Credit risk synthetic portfolio table.
 
file  economic_sim.sas
 Credit risk economic_sim table.

 
file  market_counterparty.sas
 MARKET_COUNTERPARTY table.
 
file  market_day_economic_sim.sas
 Credit risk MARKET_DAY_ECONOMIC_SIM table.

 
file  market_portfolio.sas
 Market risk portfolio table.
 
file  market_year_economic_sim.sas
 Credit risk MARKET_YEAR_ECONOMIC_SIM table.

 
file  mitigation.sas
 Credit risk mitigation table.

 
file  synthetic_cashflow.sas
 Cashflow table related to synthetic instruments.
 
file  synthetic_template_config.sas
 Synthetic instruments from template: configuration table.
 

Detailed Description