SAS Documentation
SASĀ® Solution for Stress Testing
Reference manual - version 08.2021
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ucmacros Directory Reference
+ Directory dependency graph for ucmacros:

Files

file  irm_add_function_package.sas [code]
 
file  irm_build_hash_lookup.sas [code]
 
file  irm_get_swc_property.sas [code]
 Returns the value of a given property for the specified Software Component.
 
file  irm_get_vars_where_cond.sas [code]
 
file  irm_session_prepare.sas [code]
 The macro irm_session_prepare.sas will use the values defined inside the RUN_OPTION configuration table to prepare the SAS session.
 
file  irm_set_fa_sasautos.sas [code]
 
file  irm_setup.sas [code]
 This macro initializes the IRM environment.
 
file  irm_tslit_convert.sas [code]
 
file  irmc_apply_rollup_aggregation.sas [code]
 Apply aggregation rules that map a table onto itself (e.g. rollup rules)
 
file  irmc_cf_eliminated_remap.sas [code]
 It creates a cash flow data set associated with positions selected for elimination.
 
file  irmc_mip_cm_eba2020_gen.sas [code]
 It generates MIP computed methods for the EBA2020 analysis.
 
file  irmc_riskagg_corr_mat_parser.sas [code]
 parse of the correlation matrices used for risk aggregation.
 
file  irmst_aggregate_from_rules.sas [code]
 Perform aggregation of a dataset based on aggregation rules.
 
file  irmst_apply_agg.sas [code]
 Apply aggregated values to a target dataset.
 
file  irmst_apply_agg_bep.sas [code]
 
file  irmst_apply_aggregation.sas [code]
 
file  irmst_apply_value_calculations.sas [code]
 
file  irmst_apply_volume_calculations.sas [code]
 
file  irmst_apply_yield_calculations.sas [code]
 
file  irmst_build_synthetic_portfolio.sas [code]
 
file  irmst_build_tm_from_cube.sas [code]
 
file  irmst_calculate_agg_bep_value.sas [code]
 
file  irmst_create_capital_adq_summary.sas [code]
 
file  irmst_create_ctm_pmx.sas [code]
 
file  irmst_create_loss_dist_summary.sas [code]
 Create a loss distribution summary table from a value_at_risk_detail table.
 
file  irmst_create_pd_pmx.sas [code]
 
file  irmst_create_port_expanded.sas [code]
 
file  irmst_create_rating_formats.sas [code]
 
file  irmst_enrich_mip_results.sas [code]
 irmst_enrich_mip_results enriches the model results with the portfolio table.
 
file  irmst_enrich_portfolio.sas [code]
 
file  irmst_export_mip_udl.sas [code]
 
file  irmst_fft_convolution.sas [code]
 This macro evaluate the compound distribution. .
 
file  irmst_fltr_src_agg_tbl.sas [code]
 
file  irmst_get_model_group_maps.sas [code]
 
file  irmst_get_required_mdl_vars.sas [code]
 
file  irmst_get_scenarios_from_rsm.sas [code]
 Create an economics dataset (that matches MIP requirement) from SAS Risk Scenario Manager (RSM) and SAS Risk Governance Framework (RGF) using analysis_run_id.
 
file  irmst_get_tm_analysis_data.sas [code]
 
file  irmst_get_unagg_data.sas [code]
 
file  irmst_import_atm_spreadsheet.sas [code]
 irmst_import_atm_spreadsheet processes the ATM spreadsheet uploaded by a user in the UI.
 
file  irmst_load_tm_analysis_data.sas [code]
 
file  irmst_load_trans_matrix_results.sas [code]
 
file  irmst_market_agg_bep_analysis.sas [code]
 It stresses risk measurements (VaR, EC and Expected Shortfall) at the aggregate level.
 
file  irmst_market_regenerate_econsim.sas [code]
 This macro regenerates the economic simulation data using the scenario data.
 
file  irmst_market_risk_factors_def_1.sas [code]
 
file  irmst_market_risk_factors_def_2.sas [code]
 
file  irmst_market_risk_funs_def_1.sas [code]
 
file  irmst_market_risk_funs_def_2.sas [code]
 
file  irmst_market_risk_funs_def_3.sas [code]
 
file  irmst_recombine_bep.sas [code]
 The macro rsk_recombine.sas stacks the set of partitioned tables into one non-partitioned table.
 
file  irmst_riskagg_corr_mat_check.sas [code]
 Linear aggregation of risk.
 
file  irmst_riskagg_hicopula.sas [code]
 hicopula aggregation of risk.
 
file  irmst_riskagg_hicopula_run.sas [code]
 It prepares the setup to run the hierarchical copula aggregation.
 
file  irmst_riskagg_linear.sas [code]
 Linear aggregation of risk.
 
file  irmst_run_atm_overlay.sas [code]
 irmst_run_atm_overlay joins the user specified ATM with the existing transition matrix and stores it as analysis data.
 
file  irmst_weight_mip_results.sas [code]
 irmst_weight_mip_results performs scenario weighting on the MIP model results.