SAS Documentation
SASĀ® Solution for Stress Testing
Reference manual - version 08.2021
Loading...
Searching...
No Matches
riskagg_hicopula_credit_corr.sas File Reference

Correlation Matrix for Credit. More...

Go to the source code of this file.

Detailed Description

Correlation Matrix for Credit.

PK Variable Type Required? Relationships Label Description
REPORTING_DT NUMERIC(8) Y Reporting Date SAS Date value.
SCENARIO_ID VARCHAR(32) Y Scenario Id Unique scenario id used for the analysis. Each forecast time has a separate scenario id
RISK_MEASURE VARCHAR(32) Y Risk Source Measure It identifies the type of risk measurement (VaR, EC, etc..).
TYPE VARCHAR(32) y Dependence Type type of dependence matrix: corr
PARM1 VARCHAR(64) y First correlation Component First element to which the correlation refers to.
PARM2 VARCHAR(64) y Second correlation Component Second element to which the correlation refers to.
MEASUREMENT NUMERIC(8) y Dependence Measurement Dependence Measurement
Author
SAS Institute Inc.
Date
2020

Definition in file riskagg_hicopula_credit_corr.sas.