LOSS_DISTRIBUTION_SUMMARY. More...
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LOSS_DISTRIBUTION_SUMMARY.
PK | Variable | Type | Required? | Relationships | Label | Description |
---|---|---|---|---|---|---|
![]() | ENTITY_ID | VARCHAR(32) | N | entity.sas | Entity Identifier | |
![]() | RISK_TYPE | VARCHAR(32) | N | Risk Type | Risk Type | |
![]() | REPORTING_DT | NUMERIC(8) | Y | Reporting Date | Reference date for the calculation. Also known as the base date or evaluation date of the portfolio | |
![]() | SCENARIO_ID | VARCHAR(32) | Y | Scenario Id | Unique scenario id used for the analysis. Each forecast time has a separate scenario id | |
SCENARIO_NAME | VARCHAR(512) | N | Scenario Name | Name of the business scenario that was selected as input for analysis run | ||
SCENARIO_TYPE | VARCHAR(32) | N | Scenario Type | Scenario Type - Basecase or Adverse | ||
FORECAST_PERIOD | VARCHAR(32) | N | Forecast Period | Forecast Period expressed as the number of intervals from the Reporting Date. I.e. Year 0 (current period), Year 1, .., Year N | ||
FORECAST_TIME | NUMERIC(8) | N | Forecast Time | Forecast Forecast time horizon | ||
EXPECTEDLOSS | NUMERIC(8) | N | Expected Loss | Expected Loss | ||
VALUEATRISK | NUMERIC(8) | N | Value-at-Risk | Value-at-Risk | ||
ValueAtRisk_Alpha | NUMERIC(8) | N | VaR Level | Level of Value-at-Risk | ||
ECONOMIC_CAPITAL | NUMERIC(8) | N | Economic Capital | Economic Capital |
Definition in file loss_distribution_summary.sas.