Credit risk MARKET_DAY_ECONOMIC_SIM table.
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Credit risk MARKET_DAY_ECONOMIC_SIM table.
PK | Variable | Type | Required? | Relationships | Label | Description | Required by models |
---|---|---|---|---|---|---|---|
![]() | REPORTING_DT | NUMERIC(8) | Y | Reporting Date | SAS Date value | ST - Simulation Based - EC & VaR | |
DATE | NUMERIC(8) | Y | Scenarios | Date | Horizon Date | ST - Simulation Based - EC & VaR | |
SIMULATIONREPLICATION | NUMERIC(8) | Y | Scenarios | Simulation Identifier | Unique identifier for exposure | ST - Simulation Based - EC & VaR | |
SIMULATIONTIME | NUMERIC(8) | Y | Scenarios | Horizon Identifier | Unique identifier for collateral | ST - Simulation Based - EC & VaR | |
USD_CAD | NUMERIC(8) | N | USD to CAD Exchange Rate | USD to CAD exchange rate | |||
USD_JPY | NUMERIC(8) | N | USD to JPY Exchange Rate | USD to JPY exchange rate | |||
USD_EUR | NUMERIC(8) | N | USD to EUR Exchange Rate | USD to EUR exchange rate | |||
USD_BRL | NUMERIC(8) | N | USD to BRL Exchange Rate | USD to BRL exchange rate | |||
USD_CNH | NUMERIC(8) | N | USD to CNH Exchange Rate | USD to CNH exchange rate | |||
USD_KRW | NUMERIC(8) | N | USD to KRW Exchange Rate | USD to KRW exchange rate | |||
USD_TWD | NUMERIC(8) | N | USD to TWD Exchange Rate | USD to TWD exchange rate | |||
USD_AUD | NUMERIC(8) | N | USD to AUD Exchange Rate | USD to AUD exchange rate | |||
USD_HKD | NUMERIC(8) | N | USD to HKD Exchange Rate | USD to HKD exchange rate | |||
EUR_USD | NUMERIC(8) | N | EUR to USD Exchange Rate | EUR to USD exchange rate | |||
equity_440_hk | NUMERIC(8) | N | Equity 440 HK | Equity 440 HK | |||
equity_173_hk | NUMERIC(8) | N | Equity 173 HK | Equity 173 | |||
usd1mlib | NUMERIC(8) | N | USD 1 Month LIBOR Rate | US Dollar 1 Month LIBOR Rate | |||
usd3mlib | NUMERIC(8) | N | USD 3 Month LIBOR Rate | US Dollar 3 Month LIBOR Rate | |||
usd6mlib | NUMERIC(8) | N | USD 6 Month LIBOR Rate | US Dollar 6 Month LIBOR Rate | |||
usd1ylib | NUMERIC(8) | N | USD 1 Year LIBOR Rate | US Dollar 1 Year LIBOR Rate | |||
usd2ylib | NUMERIC(8) | N | USD 2 Year LIBOR Rate | US Dollar 2 Year LIBOR Rate | |||
usd3ylib | NUMERIC(8) | N | USD 3 Year LIBOR Rate | US Dollar 3 Year LIBOR Rate | |||
usd5ylib | NUMERIC(8) | N | USD 5 Year LIBOR Rate | US Dollar 5 Year LIBOR Rate | |||
usd10ylib | NUMERIC(8) | N | USD 10 Year LIBOR Rate | US Dollar 10 Year LIBOR Rate | |||
usd15ylib | NUMERIC(8) | N | USD 15 Year LIBOR Rate | US Dollar 15 Year LIBOR Rate | |||
usd20ylib | NUMERIC(8) | N | USD 20 Year LIBOR Rate | US Dollar 20 Year LIBOR Rate | |||
usd30ylib | NUMERIC(8) | N | USD 30 Year LIBOR Rate | US Dollar 30 Year LIBOR Rate | |||
jpy1mlib | NUMERIC(8) | N | JPY 1 Month LIBOR Rate | Japenese Yen 1 Month LIBOR Rate | |||
jpy3mlib | NUMERIC(8) | N | JPY 3 Month LIBOR Rate | Japenese Yen 3 Month LIBOR Rate | |||
jpy6mlib | NUMERIC(8) | N | JPY 6 Month LIBOR Rate | Japenese Yen 6 Month LIBOR Rate | |||
jpy1ylib | NUMERIC(8) | N | JPY 1 Year LIBOR Rate | Japenese Yen 1 Year LIBOR Rate | |||
jpy2ylib | NUMERIC(8) | N | JPY 2 Year LIBOR Rate | Japenese Yen 2 Year LIBOR Rate | |||
jpy3ylib | NUMERIC(8) | N | JPY 3 Year LIBOR Rate | Japenese Yen 3 Year LIBOR Rate | |||
jpy5ylib | NUMERIC(8) | N | JPY 5 Year LIBOR Rate | Japenese Yen 5 Year LIBOR Rate | |||
jpy10ylib | NUMERIC(8) | N | JPY 10 Year LIBOR Rate | Japenese Yen 10 Year LIBOR Rate | |||
jpy15ylib | NUMERIC(8) | N | JPY 15 Year LIBOR Rate | Japenese Yen 15 Year LIBOR Rate | |||
jpy20ylib | NUMERIC(8) | N | JPY 20 Year LIBOR Rate | Japenese Yen 20 Year LIBOR Rate | |||
jpy30ylib | NUMERIC(8) | N | JPY 30 Year LIBOR Rate | Japenese Yen 30 Year LIBOR Rate | |||
eur1mlib | NUMERIC(8) | N | EUR 1 Month LIBOR Rate | European Euro 1 Month LIBOR Rate | |||
eur3mlib | NUMERIC(8) | N | EUR 3 Month LIBOR Rate | European Euro 3 Month LIBOR Rate | |||
eur6mlib | NUMERIC(8) | N | EUR 6 Month LIBOR Rate | European Euro 6 Month LIBOR Rate | |||
eur1ylib | NUMERIC(8) | N | EUR 1 Year LIBOR Rate | European Euro 1 Year LIBOR Rate | |||
eur2ylib | NUMERIC(8) | N | EUR 2 Year LIBOR Rate | European Euro 2 Year LIBOR Rate | |||
eur3ylib | NUMERIC(8) | N | EUR 3 Year LIBOR Rate | European Euro 3 Year LIBOR Rate | |||
eur5ylib | NUMERIC(8) | N | EUR 5 Year LIBOR Rate | European Euro 5 Year LIBOR Rate | |||
eur10ylib | NUMERIC(8) | N | EUR 10 Year LIBOR Rate | European Euro 10 Year LIBOR Rate | |||
eur15ylib | NUMERIC(8) | N | EUR 15 Year LIBOR Rate | European Euro 15 Year LIBOR Rate | |||
eur20ylib | NUMERIC(8) | N | EUR 20 Year LIBOR Rate | European Euro 20 Year LIBOR Rate | |||
eur30ylib | NUMERIC(8) | N | EUR 30 Year LIBOR Rate | European Euro 30 Year LIBOR Rate |
Definition in file market_day_economic_sim.sas.