SAS Documentation
SASĀ® Solution for Stress Testing
Reference manual - version 08.2021
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collateral.sas
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1
2/*
3 Copyright (C) 2019 SAS Institute Inc. Cary, NC, USA
4*/
5
6/**
7 \file
8 \brief Credit risk collateral table.
9 \details
10
11 |PK |Variable |Type | Required? |Relationships |Label |Description |
12 |--------------|---------------------------------------|------------------|-----------|---------------------------------------------|--------------------------------------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
13 |![ ](pk.jpg) | <b>REPORTING_DT</b> | NUMERIC(8) | Y | | Reporting Date | SAS Date value |
14 |![ ](pk.jpg) | <b>ENTITY_ID</b> | VARCHAR(32) | N | \link entity.sas \endlink | Entity Identifier | |
15 |![ ](pk.jpg) | <b>INSTID</b> | VARCHAR(64) | Y | | Instrument Identifier | Unique identifier for an instrument/transaction/account. The name of this column is required to be INSTID by SAS HP Risk. |
16 | | WORKGROUP | VARCHAR(32) | N | | Workgroup | SAS Risk Workgroup. Drives the row-level security |
17 | | INSTTYPE | VARCHAR(32) | N | | Instrument Type | The instrument type drives mapping to MIP model groups Category |
18 | | COUNTERPARTYID | VARCHAR(32) | N | \link counterparty.sas \endlink | Counterparty Id | Unique Identifier for the Counterparty |
19 | | POOL_FLG | VARCHAR(5) | N | | Sector 2 Weight Exposure | Weight exposure for VAR calculation based on CreditRisk+ |
20 | | EXPOSURE_KEY_SPREADTYPE | VARCHAR(16) | N | | Sector 3 Weight Exposure | Weight exposure for VAR calculation based on CreditRisk+ |
21 | | EXPOSURE_KEY_DISCOUNTTYPE | VARCHAR(16) | N | | Idiosyncratic PD Volatility | Volatility of probability of default for VAR calculation based on CreditRisk+ |
22 | | GUARANTEE_VALUE | NUMERIC(8) | N | | Sector 2 PD Volatility | Volatility of probability of default for VAR calculation based on CreditRisk+ |
23 | | PHYSICAL_ASSET_VALUE | NUMERIC(8) | N | | Sector 3 PD Volatility | Volatility of probability of default for VAR calculation based on CreditRisk+ |
24 | | MITIGANT | NUMERIC(8) | N | | Mitigant Flag | |
25 | | COLLATERAL | NUMERIC(8) | N | | Collateral Flag | a numeric flag that identifies instrument types that are held as collateral but are not owned. |
26 | | RANDOMSEED | NUMERIC(8) | N | | Random Seed Number | Random Seed Number used to control and replicate analysis involving random simulations. |
27
28
29
30
31 \ingroup ddlFactCreditRisk
32 \author SAS Institute Inc.
33 \date 2019
34*/
35
36CREATE TABLE &LIBREF..COLLATERAL (
37 REPORTING_DT DATE label = 'Reporting Date' FORMAT = &DTFMT.,
38 INSTID VARCHAR(64) label = 'Instrument Identifier',
39 ENTITY_ID VARCHAR(32) label = 'Entity ID',
40 WORKGROUP VARCHAR(32) label = 'Workgroup',
41 INSTTYPE VARCHAR(32) label = 'Instrument Type',
42 COUNTERPARTYID VARCHAR(32) label = 'Counterparty Id',
43 POOL_FLG VARCHAR(5) label = 'Data Pool Flag',
44 EXPOSURE_KEY_SPREADTYPE VARCHAR(16) label = 'Exposure Spread Type',
45 EXPOSURE_KEY_DISCOUNTTYPE VARCHAR(16) label = 'Exposure Discounting Method',
46 GUARANTEE_VALUE NUMERIC(8) label = 'Guarantee Value',
47 PHYSICAL_ASSET_VALUE NUMERIC(8) label = 'Physical Asset Value',
48 MITIGANT NUMERIC(8) label = 'Mitigant Flag',
49 COLLATERAL NUMERIC(8) label = 'Collateral Flag',
50 RANDOMSEED NUMERIC(8) label = 'Random Seed Number',
51 CONSTRAINT PRIM_KEY PRIMARY KEY (REPORTING_DT, ENTITY_ID, INSTID)
52);