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

MARKET_COUNTERPARTY table. More...

Go to the source code of this file.

Detailed Description

MARKET_COUNTERPARTY table.

PK Variable Type Required? Relationships Label Description
REPORTING_DT NUMERIC(8) Y Reporting Date SAS Date value
COUNTERPARTYID VARCHAR(32) N market_counterparty.sas Counterparty Id Unique Identifier for the Counterparty
COUNTERPARTYTYPE VARCHAR(100) N Counterparty Type Counterparty Type
COUNTERPARTY_TYPE_ENTITY VARCHAR(4) N Counterparty Type Entity
CPTY_RATING VARCHAR(3) N CPTY Rating
CPTY_RATING_AGENCY VARCHAR(3) N CPTY Rating Agency
CPTY_NAME VARCHAR(34) N CPTY Name
CPTY_PD_METHOD VARCHAR(10) N CPTY PD Method
CPTY_LGD_PCT NUMERIC(8) N CPTY LGD PCT
REF_CPTY_PD_CURVE VARCHAR(6) N Ref CPTY PD Curve
REF_CPTY_MAT_CURVE VARCHAR(9) N Ref CPTY MAT Curve
CSD_CURVE_MAP VARCHAR(5) N CSD Curve Map
SPREAD_CURVE_MAP VARCHAR(8) N Spread Curve Map
HAZARD_CURVE_MAP VARCHAR(8) N Hazard Curve Map
CURRENT_RATING_NO NUMERIC(8) N Current Rating Number
NO_OF_STATES NUMERIC(8) N Number Of States
REF_CPTY_DSC_CURVE VARCHAR(12) N REF CPTY DSC Curve
CPTY_CDS_PREM_FREQ VARCHAR(5) N CPTY CDS PREM Frequency
CPTY_CDS_DEF_FREQ VARCHAR(5) N CPTY CDS DEF Frequency
CPTY_CDS_DAYCOUNT VARCHAR(7) N CPTY CDS Day Count
CPTY_CDS_INTP_METHOD VARCHAR(6) N CPTY CDS INTP Method
CPTY_CDS_ACCRUAL_FLG NUMERIC(8) N CPTY CDS Accural Flag
CPTY_CVA_DSC VARCHAR(12) N CPTY CVA DSC
Author
SAS Institute Inc.
Date
2021

Definition in file market_counterparty.sas.