Correlation Matrix for Risktype. More...
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Correlation Matrix for Risktype.
PK | Variable | Type | Required? | Relationships | Label | Description |
---|---|---|---|---|---|---|
![]() | REPORTING_DT | NUMERIC(8) | Y | Reporting Date | SAS Date value. | |
![]() | SCENARIO_ID | VARCHAR(32) | Y | Scenario Id | Unique scenario id used for the analysis. Each forecast time has a separate scenario id | |
RISK_MEASURE | VARCHAR(32) | Y | Risk Source Measure | It identifies the type of risk measurement (VaR, EC, etc..). | ||
TYPE | VARCHAR(32) | y | Dependence Type | type of dependence matrix: corr | ||
PARM1 | VARCHAR(64) | y | First correlation Component | First element to which the correlation refers to. | ||
PARM2 | VARCHAR(64) | y | Second correlation Component | Second element to which the correlation refers to. | ||
MEASUREMENT | NUMERIC(8) | y | Dependence Measurement | Dependence Measurement |
Definition in file riskagg_hicopula_risktype_corr.sas.