SAS Documentation
SASĀ® Solution for Stress Testing
Reference manual - version 08.2021
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irmst_node_credit_model_run.sas
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1/*
2 Copyright (C) 2018 SAS Institute Inc. Cary, NC, USA
3*/
4
5/** \file
6 \brief Run the selected model
7
8 \param[in] ST_PRM.RUN_OPTION Parameter table containing runtime configuration values
9 \param[in] ST_CFG.CREDIT_STRESS_CONFIG Table containing Credit Risk Analysis configuration parameters
10 \param[in] ST_STG.SCENARIO_DATA Scenario Dataset
11 \param[in] ST_STG.SYNTHETIC_POSITION Synthetic positions to be added to the portfolio
12 \param[in] ST_STG.SHORT_POSITION Portfolio positions to be eliminated from the portfolio
13 \param[in] RQSST Enterprise Wide Data Repository library
14 \param[out] ST_STG.STRESS_ECL_RWA Output table containing Stressed ECL and RWA results
15
16 \details
17
18 In addition the following macro utilities are called:
19
20 | Macro name | Description | Further information |
21 |---------------------------|--------------------------------------------------------------------------------------------------------------|-----------------------------------------------|
22 | irm_session_prepare | Reads RUN_OPTION table and sets logging options | \link irm_session_prepare.sas \endlink |
23 | irm_session_cleanup | Removes all non-IRM WORK datasets/views and deletes all user-created macro variables from workspace session | \link irm_session_cleanup.sas \endlink |
24
25 \ingroup nodes
26 \author SAS Institute Inc.
27 \date 2018
28*/
29
30/* Initialize session */
31%irm_session_prepare();
32
33%irmc_run_rgf_model(model_run_key = &credit_model_run_key.
34 , analysis_run_id = &analysis_run_id.
35 , portfolio = &portfolio_key.
36 , counterparty = &counterparty_key.
37 , collateral = &collateral_key.
38 , mitigant = &mitigant_key.
39 , econSimulation = &econSimulation_key.
40 , ds_in_scen_info = &ds_in_scenario_info.
41 , ds_in_scen_data = &ds_in_scenario_data.
42 , ds_in_synth_position = &ds_in_synth_position.
43 , ds_in_short_position = &ds_in_short_position.
44 , ds_in_map_config = &ds_in_map_config.
45 , dr_libref = &dr_libref.
46 , dr_library_name = &dr_library_name.
47 , tmp_libref = &tmp_libref.
48 , mip_name_prefix = &mip_name_prefix.
49 , modelIn_dataMap_key = &modelIn_dataMap_key.
50 , sas_risk_workgroup_dir = &sas_risk_workgroup_dir.
51 , base_dt = %sysfunc(datepart(&base_dttm.))
52 , keep_cube_flg = &keep_mip_cube_flg.
53 , maxWait = &max_wait.
54 , pollInterval = &poll_interval.
55 , ds_out_model_run_info = &ds_out_model_run_info.
56 , ds_out_model_run_parms = &ds_out_model_run_parms.
57 , ds_out_model_result = &ds_out_model_result.
58 , tgt_ticket = &tgt_ticket.
59 , irm_user_id = &irm_user_id.
60 , irm_user_password = &irm_user_password.
61 );
62
63/* Cleanup session */
64%irm_session_cleanup;