SAS Documentation
SASĀ® Solution for Stress Testing
Reference manual - version 08.2021
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capital_adequacy_summary.sas
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1/*
2 Copyright (C) 2021 SAS Institute Inc. Cary, NC, USA
3*/
4
5
6/**
7 \file
8 \brief The report mart table CAPITAL_ADEQUACY_SUMMARY contains the required information for the SAS Visual Analytics - ICAAP Capital Adequacy Report
9 \details
10
11 | PK |Variable |Type | Required? |Relationships |Label |Description |
12 |--------------|---------------------------------------|------------------|-----------|---------------------------------------------|-------------------------------------------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
13 |![ ](pk.jpg) | ANALYSIS_RUN_ID | NUMERIC | Y | RGF Analysis Run Key | Analysis Run Id | Unique key of the Analysis Run that created the results |
14 | | ANALYSIS_RUN_NAME | VARCHAR(150) | Y | | Analysis Run Name | Name of the analysis run that created this data |
15 | ![ ](pk.jpg) | LOAD_ID | VARCHAR(32) | Y | | Load Id | Identifies whether the current data was created as part of a production analysis run or not. \nValues: \n - Production \n - What-If |
16 | ![ ](pk.jpg) | <b>ENTITY_ID</b> | VARCHAR(32) | Y | | Entity | Entity Identifier |
17 | ![ ](pk.jpg) | WORKGROUP | VARCHAR(32) | Y | | Workgroup | SAS Risk Workgroup |
18 | | PROJECT_NAME | VARCHAR(64) | Y | | Project Name | Name of the cycle in which the data was created |
19 |![ ](pk.jpg) | <b>RISK_TYPE</b> | VARCHAR(50) | Y | | Risk Type | Risk Type - credit, market, operational |
20 |![ ](pk.jpg) | <b>REPORTING_DT</b> | NUMERIC(8) | Y | | Reporting Date | Reference date for the calculation. Also known as the base date or evaluation date of the portfolio |
21 |![ ](pk.jpg) | <b>FORECAST_PERIOD</b> | VARCHAR(32) | Y | | Forecast Period | Forecast Period expressed as the number of intervals from the Reporting Date. I.e. Year 0 (current period), Year 1, .., Year N |
22 | | SCENARIO_NAME | VARCHAR(512) | N | | Scenario Name | Name of the business scenario that was selected as input for analysis run |
23 |![ ](pk.jpg) | <b>MEASURE_TYPE</b> | VARCHAR(32) | Y | | Measure Type | Measure Type - account_value_amt, economic_capital |
24 | | MEASURE_VALUE | NUMERIC(8) | N | | Measure Value Amount | Measure Value Amount for the given Measure Type above |
25 | | REG_CAP_VALUE | NUMERIC(8) | N | | Regulatory Capital (Own Cpaital) Value Amount | Regulatory Capital Value Amount Total - stored separately in order to use in calculation in VA for Capital Surplus/Shortfall |
26 | | CAP_REQ_STD_VALUE | NUMERIC(8) | N | | Capital Required (Standardized) Value | Capital Required (Standardized) Value Amount Total - stored separately in order to use in calculation in VA for Capital Surplus/Shortfall |
27 | | SORT_ORDER | NUMERIC(8) | Y | | Sort Order | Sort Order - used to sort the risk_type since some values can be duplicate values |
28 \ingroup ddlReportMart
29 \author SAS Institute Inc.
30 \date 2021
31*/
32
33create table &libref..CAPITAL_ADEQUACY_SUMMARY(
34 ANALYSIS_RUN_ID NUMERIC(8) label = "Analysis Run Id",
35 ANALYSIS_RUN_NAME VARCHAR(150) label = "Analysis Run Name",
36 LOAD_ID VARCHAR(32) label = 'Load Id',
37 ENTITY_ID VARCHAR(32) label = 'Entity',
38 WORKGROUP VARCHAR(32) label = 'Workgroup',
39 PROJECT_NAME VARCHAR(64) label = 'Project Name',
40 RISK_TYPE VARCHAR(50) label = 'Risk Type',
41 REPORTING_DT DATE label = "Reporting Date" FORMAT = yymmddd10.,
42 SCENARIO_NAME VARCHAR(512) label = 'Scenario Name',
43 FORECAST_PERIOD VARCHAR(32) label = 'Forecast Period',
44 MEASURE_TYPE VARCHAR(32) label = 'Measure Type',
45 MEASURE_VALUE NUMERIC(8) label = 'Measure Value' FORMAT = comma25.2,
46 REG_CAP_VALUE NUMERIC(8) label = 'Regulatory Capital (Own Capital) Value' FORMAT = comma25.2,
47 CAP_REQ_STD_VALUE NUMERIC(8) label = 'Capital Required (Standardized) Value' FORMAT = comma25.2,
48 SORT_ORDER NUMERIC(8) label = 'Sort Order'
49 );