SAS Documentation
SASĀ® Solution for Stress Testing
Reference manual - version 08.2021
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Credit risk collateral table. More...

Go to the source code of this file.

Detailed Description

Credit risk collateral table.

PK Variable Type Required? Relationships Label Description
REPORTING_DT NUMERIC(8) Y Reporting Date SAS Date value
ENTITY_ID VARCHAR(32) N entity.sas Entity Identifier
INSTID 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.
WORKGROUP VARCHAR(32) N Workgroup SAS Risk Workgroup. Drives the row-level security
INSTTYPE VARCHAR(32) N Instrument Type The instrument type drives mapping to MIP model groups Category
COUNTERPARTYID VARCHAR(32) N counterparty.sas Counterparty Id Unique Identifier for the Counterparty
POOL_FLG VARCHAR(5) N Sector 2 Weight Exposure Weight exposure for VAR calculation based on CreditRisk+
EXPOSURE_KEY_SPREADTYPE VARCHAR(16) N Sector 3 Weight Exposure Weight exposure for VAR calculation based on CreditRisk+
EXPOSURE_KEY_DISCOUNTTYPE VARCHAR(16) N Idiosyncratic PD Volatility Volatility of probability of default for VAR calculation based on CreditRisk+
GUARANTEE_VALUE NUMERIC(8) N Sector 2 PD Volatility Volatility of probability of default for VAR calculation based on CreditRisk+
PHYSICAL_ASSET_VALUE NUMERIC(8) N Sector 3 PD Volatility Volatility of probability of default for VAR calculation based on CreditRisk+
MITIGANT NUMERIC(8) N Mitigant Flag
COLLATERAL NUMERIC(8) N Collateral Flag a numeric flag that identifies instrument types that are held as collateral but are not owned.
RANDOMSEED NUMERIC(8) N Random Seed Number Random Seed Number used to control and replicate analysis involving random simulations.
Author
SAS Institute Inc.
Date
2019

Definition in file collateral.sas.