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

It stresses risk measurements (VaR, EC and Expected Shortfall) at the aggregate level. More...

Go to the source code of this file.

Detailed Description

It stresses risk measurements (VaR, EC and Expected Shortfall) at the aggregate level.

Parameters
[in]ds_in_portfolioInput portfolio table.
[in]ds_in_projectionInput projection table. Provides assumptions about future volumes for each portfolio segment
[out]ds_outOutput table containing the stressed exposure.
[in]target_varName of the target variable that must satisfy the projection requirements specified by the DS_IN_PROJECTION table
[in]absoluteValue_varNmae of the variable containing the absolute BEP changes with respect to the base period
[in]by_varsSpace separated list of variables that define the segmentation. A separate Copula analysis is performed for each distinct segmentation
[in]id_varName of the primary key (Identifier) variable in the DS_IN_PORTFOLIO table.
[in]horizon_varName of the horizon variable in the DS_IN_PROJECTION table.
[in]scenario_var(Optional) Name of the scenario variable in the DS_IN_PROJECTION table.
[in]debugDebug mode: True/False. If True, intermediate temporary tables are preserved. (Default: false)
Author
SAS Institute INC.
Date
2021

Definition in file irmst_market_agg_bep_analysis.sas.