SAS Documentation
SASĀ® Solution for Stress Testing
Reference manual - version 08.2021
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riskagg_hicopula_entityid_corr.sas
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1/*
2 Copyright (C) 2020 SAS Institute Inc. Cary, NC, USA
3*/
4
5/**
6 \file
7 \brief Correlation Matrix for Entity.
8 \details
9
10 |PK |Variable |Type | Required? |Relationships |Label |Description |
11 |--------------|---------------------------------------|------------------|-----------|---------------------------------------------|--------------------------------------------|--------------------------------------------------------------------------|
12 |![ ](pk.jpg) | <b>REPORTING_DT</b> | NUMERIC(8) | Y | | Reporting Date | SAS Date value. |
13 |![ ](pk.jpg) | SCENARIO_ID | VARCHAR(32) | Y | | Scenario Id | Unique scenario id used for the analysis. Each forecast time has a separate scenario id |
14 | | RISK_MEASURE | VARCHAR(32) | Y | | Risk Source Measure | It identifies the type of risk measurement (VaR, EC, etc..). |
15 | | _TYPE_ | VARCHAR(32) | y | | Dependence Type | type of dependence matrix: corr |
16 | | _PARM1_ | VARCHAR(64) | y | | First correlation Component | First element to which the correlation refers to. |
17 | | _PARM2_ | VARCHAR(64) | y | | Second correlation Component | Second element to which the correlation refers to. |
18 | | _MEASUREMENT_ | NUMERIC(8) | y | | Dependence Measurement | Dependence Measurement |
19
20
21 \ingroup ddlRiskAggregation
22 \author SAS Institute Inc.
23 \date 2020
24*/
25
26CREATE TABLE &LIBREF..RISKAGG_HICOPULA_ENTITYID_CORR (
27 REPORTING_DT DATE label = 'Reporting Date' FORMAT = &DTFMT.,
28 SCENARIO_ID VARCHAR(32) label = 'Scenario Id',
29 RISK_MEASURE VARCHAR(32) label = 'Risk Source Measure',
30 _TYPE_ VARCHAR(32) label = 'Dependence Type',
31 _PARM1_ VARCHAR(64) label = 'First correlation Component',
32 _PARM2_ VARCHAR(64) label = 'Second correlation Component',
33 _MEASUREMENT_ NUMERIC label = 'Dependence Measurement'
34);
35