SAS Documentation
SASĀ® Solution for Stress Testing
Reference manual - version 08.2021
Loading...
Searching...
No Matches
mitigation.sas
Go to the documentation of this file.
1
2/*
3 Copyright (C) 2019 SAS Institute Inc. Cary, NC, USA
4*/
5
6/**
7 \file
8 \brief Credit risk mitigation table.
9 \details
10
11 |PK |Variable |Type | Required? |Relationships |Label |Description |Required by model |
12 |--------------|---------------------------------------|------------------|-----------|---------------------------------------------|--------------------------------------------|----------------------------------------------------------------------|----------------------|
13 |![ ](pk.jpg) | <b>REPORTING_DT</b> | NUMERIC(8) | Y | | Reporting Date | SAS Date value | |
14 | | EXPOSUREID | VARCHAR(64) | Y | \link credit_portfolio.sas \endlink | Exposure Identifier | Unique identifier for exposure | |
15 | | MITIGANTID | VARCHAR(64) | Y | \link collateral.sas \endlink | Collateral Identifier | Unique identifier for collateral | |
16 | | MITIGATIONTYPE | VARCHAR(32) | Y | | Mitigation Type | It defines the method to be used for mitigation | |
17 | | LEGAL_PROTECTION_AMT | NUMERIC(8) | N | | Legal Protection Amount | Maximum protection amount for the EXPOSUREID | |
18 | | EXPOSURE_RANK | NUMERIC(8) | N | | Exposure Rank | | |
19 | | MITIGATION_RANK | NUMERIC(8) | N | | Mitigation Rank | | |
20 | | MITIGATION_HAIRCUT_FACTOR | NUMERIC(8) | N | | Haircut Mitigation Factor | | |
21
22
23 \ingroup ddlFactCreditRisk
24 \author SAS Institute Inc.
25 \date 2019
26*/
27
28CREATE TABLE &LIBREF..MITIGATION (
29 REPORTING_DT DATE label = 'Reporting Date' FORMAT = &DTFMT.,
30 EXPOSUREID VARCHAR(64) label = 'Exposure Identifier',
31 MITIGANTID VARCHAR(64) label = 'Collateral Identifier',
32 MITIGATIONTYPE VARCHAR(32) label = 'Mitigation Type',
33 LEGAL_PROTECTION_AMT NUMERIC(8) label = 'Legal Protection Amount',
34 EXPOSURE_RANK NUMERIC(8) label = 'Exposure Rank',
35 MITIGATION_RANK NUMERIC(8) label = 'Mitigation Rank',
36 MITIGATION_HAIRCUT_FACTOR NUMERIC(8) label = 'Haircut Mitigation Factor',
37 CONSTRAINT PRIM_KEY PRIMARY KEY (REPORTING_DT, EXPOSUREID, MITIGANTID)
38);