SAS Documentation
SASĀ® Solution for Stress Testing
Reference manual - version 08.2021
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market_counterparty.sas
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1/*
2 Copyright (C) 2021 SAS Institute Inc. Cary, NC, USA
3*/
4
5/**
6 \file
7 \brief MARKET_COUNTERPARTY table.
8 \details
9
10 |PK |Variable |Type | Required? |Relationships |Label |Description |
11 |--------------|---------------------------------------|------------------|-----------|---------------------------------------------|--------------------------------------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
12 |![ ](pk.jpg) | <b>REPORTING_DT</b> | NUMERIC(8) | Y | | Reporting Date | SAS Date value |
13 |![ ](pk.jpg) | <b>COUNTERPARTYID</b> | VARCHAR(32) | N | \link market_counterparty.sas \endlink | Counterparty Id | Unique Identifier for the Counterparty |
14 | | COUNTERPARTYTYPE | VARCHAR(100) | N | | Counterparty Type | Counterparty Type |
15 | | COUNTERPARTY_TYPE_ENTITY | VARCHAR(4) | N | | Counterparty Type Entity | |
16 | | CPTY_RATING | VARCHAR(3) | N | | CPTY Rating | |
17 | | CPTY_RATING_AGENCY | VARCHAR(3) | N | | CPTY Rating Agency | |
18 | | CPTY_NAME | VARCHAR(34) | N | | CPTY Name | |
19 | | CPTY_PD_METHOD | VARCHAR(10) | N | | CPTY PD Method | |
20 | | CPTY_LGD_PCT | NUMERIC(8) | N | | CPTY LGD PCT | |
21 | | REF_CPTY_PD_CURVE | VARCHAR(6) | N | | Ref CPTY PD Curve | |
22 | | REF_CPTY_MAT_CURVE | VARCHAR(9) | N | | Ref CPTY MAT Curve | |
23 | | CSD_CURVE_MAP | VARCHAR(5) | N | | CSD Curve Map | |
24 | | SPREAD_CURVE_MAP | VARCHAR(8) | N | | Spread Curve Map | |
25 | | HAZARD_CURVE_MAP | VARCHAR(8) | N | | Hazard Curve Map | |
26 | | CURRENT_RATING_NO | NUMERIC(8) | N | | Current Rating Number | |
27 | | NO_OF_STATES | NUMERIC(8) | N | | Number Of States | |
28 | | REF_CPTY_DSC_CURVE | VARCHAR(12) | N | | REF CPTY DSC Curve | |
29 | | CPTY_CDS_PREM_FREQ | VARCHAR(5) | N | | CPTY CDS PREM Frequency | |
30 | | CPTY_CDS_DEF_FREQ | VARCHAR(5) | N | | CPTY CDS DEF Frequency | |
31 | | CPTY_CDS_DAYCOUNT | VARCHAR(7) | N | | CPTY CDS Day Count | |
32 | | CPTY_CDS_INTP_METHOD | VARCHAR(6) | N | | CPTY CDS INTP Method | |
33 | | CPTY_CDS_ACCRUAL_FLG | NUMERIC(8) | N | | CPTY CDS Accural Flag | |
34 | | CPTY_CVA_DSC | VARCHAR(12) | N | | CPTY CVA DSC | |
35
36
37 \ingroup ddlFactCreditRisk
38 \author SAS Institute Inc.
39 \date 2021
40*/
41
42CREATE TABLE &LIBREF..MARKET_COUNTERPARTY (
43 REPORTING_DT DATE label = 'Reporting Date' FORMAT = &DTFMT.,
44 COUNTERPARTYID VARCHAR(32) label = 'Counterparty Id',
45 COUNTERPARTYTYPE VARCHAR(100) label = 'Counterparty Type',
46 COUNTERPARTY_TYPE_ENTITY VARCHAR(4) label = 'Counterparty Type Entity',
47 CPTY_RATING VARCHAR(3) label = 'CPTY Rating',
48 CPTY_RATING_AGENCY VARCHAR(3) label = 'CPTY Rating Agency',
49 CPTY_NAME VARCHAR(34) label = 'CPTY Name',
50 CPTY_PD_METHOD VARCHAR(10) label = 'CPTY PD Method',
51 CPTY_LGD_PCT NUMERIC(8) label = 'CPTY LGD PCT',
52 REF_CPTY_PD_CURVE VARCHAR(6) label = 'Ref CPTY PD Curve',
53 REF_CPTY_MAT_CURVE VARCHAR(9) label = 'Ref CPTY MAT Curve',
54 CSD_CURVE_MAP VARCHAR(5) label = 'CSD Curve Map',
55 SPREAD_CURVE_MAP VARCHAR(8) label = 'Spread Curve Map',
56 HAZARD_CURVE_MAP VARCHAR(8) label = 'Hazard Curve Map',
57 CURRENT_RATING_NO NUMERIC(8) label = 'Current Rating Number',
58 NO_OF_STATES NUMERIC(8) label = 'Number Of States',
59 REF_CPTY_DSC_CURVE VARCHAR(12) label = 'REF CPTY DSC Curve',
60 CPTY_CDS_PREM_FREQ VARCHAR(5) label = 'CPTY CDS PREM Frequency',
61 CPTY_CDS_DEF_FREQ VARCHAR(5) label = 'CPTY CDS DEF Frequency',
62 CPTY_CDS_DAYCOUNT VARCHAR(7) label = 'CPTY CDS Day Count',
63 CPTY_CDS_INTP_METHOD VARCHAR(6) label = 'CPTY CDS INTP Method',
64 CPTY_CDS_ACCRUAL_FLG NUMERIC(8) label = 'CPTY CDS Accural Flag',
65 CPTY_CVA_DSC VARCHAR(12) label = 'CPTY CVA DSC',
66 CONSTRAINT PRIM_KEY PRIMARY KEY (REPORTING_DT, COUNTERPARTYID)
67);