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

Linear aggregation of risk. More...

Go to the source code of this file.

Detailed Description

Linear aggregation of risk.

Parameters
[in]ds_in_configuration_tableInput configuration table. It provides information about risk sources to be aggregated and information about the corresponding scenarios.
[in]ds_in_correlation_tableInput correlation table. It contains information about the correlation matrix to be used for the linear aggregation
[in]working_libnameWorking LIBNAME. By default, it is set to work. This option is typically used to facilitate debugging.
[out]ds_out_risk_analysis_tableOutput table. It contains results about the linear aggregation..

Given an input configuration table (DS_IN_CONFIGURATION_TABLE) and an input correlation matrix (DS_IN_CORRELATION_TABLE), this macro will linearly aggregate the risk sources defined in the configuration table (DS_IN_CONFIGURATION_TABLE). Notice that the aggregation can be performed with respect to different scenarios: the configuration table (DS_IN_CONFIGURATION_TABLE) and the (DS_IN_CORRELATION_TABLE) need to contain a properly specified scenario variable (<SCENARIO_ID>).

The structure of the DS_IN_CONFIGURATION_TABLE table is as follows:

Variable Type Description
<REPORTING_DT> NUMERIC SAS Date value.
<SCENARIO_ID> CHARACTER/NUMERIC Scenario identifier variable.
<NAME> CHARACTER Name of the risk source.
<EXPECTEDLOSS> NUMERIC Expected Loss
<VALUEATRISK> NUMERIC Value-at-Risk
<ECONOMIC_CAPITAL> NUMERIC Economic Capital

The structure of the DS_IN_CORRELATION_TABLE table is as follows:

Variable Type Description
<SCENARIO_ID> CHARACTER/NUMERIC Scenario identifier variable.
<NAME> CHARACTER Name of the risk source.
<RISK_MEASURE> CHARACTER Type of risk measure: VaR, EC, etc....
<TYPE> CHARACTER Type of dependence matrix. Currently it only supports "corr"
NAME variables NUMERIC The list of variables specified in <NAME>. These specify the values of the dependence matrix.
Author
SAS Institute INC.
Date
2020

Definition in file irmst_riskagg_linear.sas.