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

LOSS_DISTRIBUTION_SUMMARY. More...

Go to the source code of this file.

Detailed Description

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
Author
SAS Institute Inc.
Date
2018

Definition in file loss_distribution_summary.sas.