SAS Documentation
SASĀ® Solution for Stress Testing
Reference manual - version 08.2021
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migration_detail.sas File Reference

The report mart table ST_MIGRATION_DETAIL contains the required information for the SAS Visual Analytics Management Report. More...

Go to the source code of this file.

Detailed Description

The report mart table ST_MIGRATION_DETAIL contains the required information for the SAS Visual Analytics Management Report.

PK Variable Type Required? Relationships Label Description
LOAD_ID VARCHAR(32) Y Load Id Identifies whether the current data was created as part of a production analysis run or not. \nValues:
- Production
- What-If
ENTITY_ID VARCHAR(32) N entity.sas Entity Identifier Entity Identifier
REPORTING_DT NUMERIC(8) Y Reporting Date Reference date for the calculation. Also known as the base date or evaluation date of the portfolio
INSTID VARCHAR(64) Y Instrument Identifier Financial instrument identifier
SCENARIO_ID VARCHAR(32) Y Scenario Id Unique scenario id used for the analysis. Each forecast time has a separate scenario id
MOVEMENT_ID NUMERIC(8) N Movement Id Identifier for any changes that might occurr to the data as a result of a management adjustment/override. Model output has movement_id = 1, any adjustment is measured as a delta change from the previous movement_id, and stored using incremental movement_id values
TO_RISK_RATING VARCHAR(32) N Migrated Risk Rating Migrated Credit Rating Grade. Example: AAA (S&P)
PROJECT_NAME VARCHAR(64) Y Project Name Name of the cycle in which the data was created
ANALYSIS_RUN_NAME VARCHAR(150) Y Analysis Run Name Name of the analysis run that created this data
SCENARIO_NAME VARCHAR(512) Y Scenario Name Name of the business scenario: it groups scenario id values across multiple forecast horizons
INSTTYPE VARCHAR(32) N Instrument Type Instrument type
PORTFOLIO_SEGMENT VARCHAR(50) N Portfolio Segment Portfolio segmentation
REGULATORY_PRODUCT_LEV1 VARCHAR(200) N FR Y-14 Category 1 FR Y-14 Category 1
REGULATORY_PRODUCT_LEV2 VARCHAR(200) N FR Y-14 Category 2 FR Y-14 Category 2
REGULATORY_PRODUCT_LEV3 VARCHAR(200) N FR Y-14 Category 3 FR Y-14 Category 3
REGULATORY_PRODUCT_LEV4 VARCHAR(200) N FR Y-14 Category 4 FR Y-14 Category 4
GEOGRAPHY_CD VARCHAR(32) N map_geo_hierarchy.sas Geography Code Geography Code (reporting dimension).
MOVEMENT_TYPE_CD VARCHAR(32) N Movement Type Code Movement type code. See map_movement_type.sas for a list of valid values
RWA NUMERIC(8) N RWA Risk Weighted Assets
EVALDATE DATE N Evaluation Date Date of forecast evaluation
HORIZON NUMERIC(8) N Horizon Forecast horizon.
INITIAL_RISK_RATING VARCHAR(32) N Initial Risk Rating Initial Credit Rating Grade. Example: AAA (S&P)
OUTSTANDING_AMT NUMERIC(8) N Outstanding Amount Outstanding balance of the instrument at the reporting date
DEFAULT_AMT NUMERIC(8) N Defaulted Amount Defaulted balance of the instrument at the reporting date
LGD NUMERIC(8) N LGD Loss Given Default
PD NUMERIC(8) N PD Periodic probability of default
EAD_AMT NUMERIC(8) N Exposure at Default Amount Periodic exposure at default amount
EL NUMERIC(8) N Expected Loss Rate Periodic expected loss rate
EL_AMT NUMERIC(8) N Expected Loss Amount Periodic expected loss amount
INDIVIDUAL_PROVISION_AMT NUMERIC(8) N Individual Provision Amount Individual Provision Amount
COLLECTIVE_PROVISION_AMT NUMERIC(8) N Collective Provision Amount Collective Provision Amount
TOTAL_PROVISION_AMT NUMERIC(8) N Total Provision Amount Total Provision Amount
NCO_AMT NUMERIC(8) N Net Charge Off Amount Net Charge Off Amount
Author
SAS Institute Inc.
Date
2020

Definition in file migration_detail.sas.