SAS Documentation
SASĀ® Solution for Stress Testing
Reference manual - version 08.2021
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irmc_riskagg_corr_mat_parser.sas File Reference

parse of the correlation matrices used for risk aggregation. More...

Go to the source code of this file.

Detailed Description

parse of the correlation matrices used for risk aggregation.

Parameters
[in]ds_in_corr_matrixUnstructured correlation matrix table.
[in]working_libnameWorking LIBNAME. By default, it is set to work. This option is typically used to facilitate debugging.
[out]ds_out_matrixStructured correlation matrix table.

Given a correlation matrix (DS_IN_CORR_MATRIX) specified in an unstructured form (specifying k elements), this macro returns a structured correlation matrix (DS_OUT_CORR_MATRIX) containing n*n elements where k=n*(n-1)/2.

For example the following unstructured correlation matrix defined by k=10 elements

Correlation Identifier Correlation Measurement
Corr(item1,item2) num1
Corr(item1,item3) num2
Corr(item1,item4) num3
Corr(item1,item5) num4
Corr(item2,item3) num5
Corr(item2,item4) num6
Corr(item2,item5) num7
Corr(item3,item4) num8
Corr(item3,item5) num9
Corr(item4,item5) num10

is equivalent to the following 5*5 structured correlation matrix

item1 item2 item3 item4 item5
item1 1 num1 num2 num3 num4
item2 num1 1 num5 num6 num7
item3 num2 num5 1 num8 num9
item4 num3 num6 num8 1 num10
item5 num4 num7 num9 num10 1
Author
SAS Institute INC.
Date
2020

Definition in file irmc_riskagg_corr_mat_parser.sas.