SAS Documentation
SASĀ® Solution for Stress Testing
Reference manual - version 08.2021
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Dynamic Portfolio Analytics
+ Collaboration diagram for Dynamic Portfolio Analytics:

Files

file  irmc_cf_eliminated_remap.sas
 It creates a cash flow data set associated with positions selected for elimination.
 
file  irmc_mip_cm_eba2020_gen.sas
 It generates MIP computed methods for the EBA2020 analysis.
 
file  irmst_fft_convolution.sas
 This macro evaluate the compound distribution. .
 
file  irmst_market_agg_bep_analysis.sas
 It stresses risk measurements (VaR, EC and Expected Shortfall) at the aggregate level.
 
file  irmst_market_regenerate_econsim.sas
 This macro regenerates the economic simulation data using the scenario data.
 

Detailed Description