SAS Documentation
SASĀ® Solution for Stress Testing
Reference manual - version 08.2021
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Credit risk mitigation table.
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Go to the source code of this file.

Detailed Description

Credit risk mitigation table.


PK Variable Type Required? Relationships Label Description Required by model
REPORTING_DT NUMERIC(8) Y Reporting Date SAS Date value
EXPOSUREID VARCHAR(64) Y credit_portfolio.sas Exposure Identifier Unique identifier for exposure
MITIGANTID VARCHAR(64) Y collateral.sas Collateral Identifier Unique identifier for collateral
MITIGATIONTYPE VARCHAR(32) Y Mitigation Type It defines the method to be used for mitigation
LEGAL_PROTECTION_AMT NUMERIC(8) N Legal Protection Amount Maximum protection amount for the EXPOSUREID
EXPOSURE_RANK NUMERIC(8) N Exposure Rank
MITIGATION_RANK NUMERIC(8) N Mitigation Rank
MITIGATION_HAIRCUT_FACTOR NUMERIC(8) N Haircut Mitigation Factor
Author
SAS Institute Inc.
Date
2019

Definition in file mitigation.sas.