SAS Documentation
SASĀ® Solution for Stress Testing
Reference manual - version 08.2021
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rwa_weights.sas
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1/* Copyright (C) 2019 SAS Institute Inc. Cary, NC, USA */
2
3/*!
4\file
5\brief The table RWA_WEIGHTS contains RWA weights
6
7 |PK |Variable |Type | Required? |Label |Description | Required by models |
8 |--------------|---------------------|------------------|-----------|---------------------------|-------------------------------------------------------------|---------------------------------------------------------------|
9 | | REPORTING_DT | NUMERIC(8) | Y | Reporting Date | Reporting Date | ST - Financial Statement Projection |
10 | | ENTITY_ID | VARCHAR(32) | Y | Entity Identifier | Entity Identifier | ST - Financial Statement Projection |
11 | | BALANCE_SHEET_CD | VARCHAR(32) | Y | Balance Sheet Code | Balance Sheet Code | ST - Financial Statement Projection |
12 | | FORECAST_HORIZON | NUMERIC(8) | Y | Forecast Horizon | Forecast Horizon | ST - Financial Statement Projection |
13 | | GEOGRAPHY_CD | VARCHAR(32) | Y | Geography Code | Geography Code | |
14 | | SCENARIO_ID | VARCHAR(32) | Y | Scenario Identifier | Scenario Identifier | |
15 | | MOVEMENT_TYPE_CD | VARCHAR(32) | Y | Movement Type Code | Movement Type Code | |
16 | | CURRENCY_CD | VARCHAR(3) | Y | Currency Code | Currency Code | |
17 | | RWA | NUMERIC(8) | Y | RWA | Risk Weighted Assets | ST - Financial Statement Projection |
18
19 \details
20
21 Input table that captures risk weights for Balance Sheet Asset line items for different scenarios and forecast times.
22 The weights are used to calculate Risk-Weighted Average value of assets in the balance sheet which corresponds to a line-item in the Own Funds Account table.
23
24 \ingroup ddlRWAWeights
25 \author SAS Institute Inc.
26 \date 2019
27*/
28
29CREATE TABLE &LIBREF..RWA_WEIGHTS (
30 REPORTING_DT DATE label = 'Reporting Date' FORMAT = &DTFMT.,
31 ENTITY_ID VARCHAR(32) label = 'Entity Identifier',
32 BALANCE_SHEET_CD VARCHAR(32) label = 'Balance Sheet Code',
33 FORECAST_HORIZON NUMERIC label = 'Forecast Horizon',
34 GEOGRAPHY_CD VARCHAR(32) label = 'Geography Code',
35 SCENARIO_ID VARCHAR(32) label = 'Scenario Id',
36 MOVEMENT_TYPE_CD VARCHAR(32) label = 'Movement Type Code',
37 CURRENCY_CD VARCHAR(3) label = 'Currency Code',
38 RWA NUMERIC label = 'RWA',
39 CONSTRAINT PRIM_KEY PRIMARY KEY (BALANCE_SHEET_CD, FORECAST_HORIZON, SCENARIO_ID)
40);