143create table &libref..VALUE_AT_RISK_DETAIL (
144 ANALYSIS_RUN_ID NUMERIC label =
"Analysis Run Id",
145 ANALYSIS_RUN_NAME VARCHAR(150) label =
"Analysis Run Name",
146 ANALYSIS_TYPE_CD VARCHAR(32) label =
"Analysis Type Code",
147 LOAD_ID VARCHAR(32) label =
"Load Id",
148 REPORTING_DT DATE label =
"Reporting Date" FORMAT = yymmddd10.,
149 ENTITY_ID VARCHAR(32) label =
"Entity",
150 WORKGROUP VARCHAR(32) label =
"Workgroup",
151 PROJECT_NAME VARCHAR(64) label =
"Project Name",
152 SCENARIO_ID VARCHAR(32) label =
'Scenario Id',
153 SCENARIO_NAME VARCHAR(512) label =
'Scenario Name',
154 RULE_ID VARCHAR(32) label =
'Adjustment Rule Id',
155 RULE_DESC VARCHAR(4096) label =
'Adjustment Rule Description',
156 INSTID VARCHAR(64) label =
'Instrument Identifier',
157 INSTTYPE VARCHAR(32) label =
'Instrument Type',
158 PORTFOLIO_SEGMENT VARCHAR(50) label =
'Portfolio Segment',
159 ACCOUNTING_METHOD VARCHAR(14) label =
'Accounting Method',
160 ASSET_TYPE_DESC VARCHAR(200) label =
'Asset Type',
161 PRODUCT_CD VARCHAR(100) label =
'Product Code',
162 PRODUCT_LEV1 VARCHAR(200) label =
'Product Category',
163 PRODUCT_LEV2 VARCHAR(200) label =
'Product Sub-Category',
164 PRODUCT_LEV3 VARCHAR(200) label =
'Product Name',
165 REGULATORY_PRODUCT_LEV1 VARCHAR(200) label =
'FR Y-14 Category 1',
166 REGULATORY_PRODUCT_LEV2 VARCHAR(200) label =
'FR Y-14 Category 2',
167 REGULATORY_PRODUCT_LEV3 VARCHAR(200) label =
'FR Y-14 Category 3',
168 REGULATORY_PRODUCT_LEV4 VARCHAR(200) label =
'FR Y-14 Category 4',
169 LOB_ID VARCHAR(100) label =
'Line of Business Id',
170 LOB_LEV1 VARCHAR(200) label =
'Line of Business Level 1',
171 LOB_LEV2 VARCHAR(200) label =
'Line of Business Level 2',
172 LOB_LEV3 VARCHAR(200) label =
'Line of Business Level 3',
173 GEOGRAPHY_CD VARCHAR(32) label =
'Geography Code',
174 GEOGRAPHY_LEV1 VARCHAR(100) label =
"Geography Level 1",
175 GEOGRAPHY_LEV2 VARCHAR(100) label =
"Geography Level 2",
176 GEOGRAPHY_LEV3 VARCHAR(100) label =
"Geography Level 3",
177 GEOGRAPHY_LEV4 VARCHAR(100) label =
"Geography Level 4",
178 SECTOR_DESC VARCHAR(100) label =
'Sector Description',
179 CURRENCY VARCHAR(3) label =
'Currency',
180 ORIG_RATING_AGENCY VARCHAR(32) label =
'Rating Agency at Origination',
181 ORIG_RATING_GRADE VARCHAR(32) label =
'Rating Grade at Origination',
182 ORIG_STD_RATING_GRADE VARCHAR(32) label =
'Standardised Rating Grade at Origination',
183 RATING_AGENCY VARCHAR(32) label =
'Rating Agency',
184 RATING_GRADE VARCHAR(32) label =
'Rating Grade',
185 STD_RATING_GRADE VARCHAR(32) label =
'Standardised Rating Grade',
186 DRAWDOWN_PERIOD_FLG VARCHAR(3) label =
'Drawdown Period Flag',
187 ISSUED_GUARANTEE_FLG VARCHAR(3) label =
'Issued Guarantee Flag',
188 REVOLVING_FLG VARCHAR(3) label =
'Revolving Flag',
189 DELINQUENCY_FLG VARCHAR(3) label =
'Delinquency Flag',
190 EVER_DELINQUENT_FLG VARCHAR(3) label =
'Ever Delinquent Flag',
191 LOAN_STATUS_DESC VARCHAR(32) label =
'Loan Status',
192 PCD_FLG VARCHAR(3) label =
'Purchased Credit Deteriorated Flag',
193 TDR_FLG VARCHAR(3) label =
'Troubled Debt Restructuring Flag',
194 FORECLOSURE_FLG VARCHAR(3) label =
'Foreclosure Flag',
195 RELATED_PARTY_FLG VARCHAR(3) label =
'Related Party Flag',
196 COLLATERAL_SUPPORT_FLG VARCHAR(3) label =
'Collateral Support Flag',
197 FINANCIAL_DIFFICULTIES_FLG VARCHAR(3) label =
'Financial Difficulties Flag',
198 UNCONDITIONALLY_CANCELABLE_FLG VARCHAR(3) label =
'Unconditionally Cancelable Flag',
199 DEACTIVATION_FLG VARCHAR(3) label =
'Deactivation Flag',
200 SYNTHETIC_INSTRUMENT_FLG VARCHAR(3) label =
'Synthetic Instrument Flag',
201 ACTIVATION_SCENARIO VARCHAR(32) label =
'Activation Scenario',
202 ACTIVATION_HORIZON NUMERIC(8) label =
'Activation Horizon',
203 START_DT DATE label =
'Start Date' FORMAT = yymmddd10.,
204 MATURITY_DT DATE label =
'Maturity Date' FORMAT = yymmddd10.,
205 MOVEMENT_ID NUMERIC(8) label =
'Movement Id',
206 MOVEMENT_DESC VARCHAR(100) label =
'Movement Description',
207 MOVEMENT_TYPE_CD VARCHAR(32) label =
'Movement Type Code',
208 MOVEMENT_TYPE VARCHAR(100) label =
'Movement Type',
209 MOVEMENT_CATEGORY VARCHAR(100) label =
'Movement Category',
210 FORECAST_PERIOD VARCHAR(32) label =
'Forecast Period',
211 FORECAST_TIME NUMERIC(8) label =
'Forecast Time',
212 DAYS_PAST_DUE_CNT NUMERIC(8) label =
'Days Past Due',
213 ORIG_UNPAID_BALANCE_AMT NUMERIC(8) label =
'Unpaid Balance Amount at Origination' FORMAT = comma25.2,
214 ORIG_PIT_PD NUMERIC(8) label =
'PIT PD at Origination' FORMAT = percent8.2,
215 ORIG_LTV_RT NUMERIC(8) label =
'LTV at Origination' FORMAT = percent8.2,
216 PIT_PD NUMERIC(8) label =
'PIT PD' FORMAT = percent8.2,
217 LTV_RT NUMERIC(8) label =
'LTV' FORMAT = percent8.2,
218 LGD NUMERIC(8) label =
'LGD' FORMAT = percent8.2,
219 CURRENT_RT NUMERIC(8) label =
'Current Contractual Interest Rate' FORMAT = percent8.2,
220 EFFECTIVE_INTEREST_RT NUMERIC(8) label =
'Effective Interest Rate' FORMAT = percent8.2,
221 MARGIN_RT NUMERIC(8) label =
'Interest Rate Margin' FORMAT = percent8.2,
222 CREDIT_LIMIT_AMT NUMERIC(8) label =
'Credit Limit Amount' FORMAT = comma25.2,
223 UNPAID_BALANCE_AMT NUMERIC(8) label =
'Unpaid Balance Amount' FORMAT = comma25.2,
224 OFF_BALANCE_AMT NUMERIC(8) label =
'Off-Balance Amount' FORMAT = comma25.2,
225 WRITE_OFF_AMT NUMERIC(8) label =
'Write-off Amount' FORMAT = comma25.2,
226 FEE_AMT NUMERIC(8) label =
'Amount of Fees' FORMAT = comma25.2,
227 ACCRUED_INTEREST_AMT NUMERIC(8) label =
'Accrued Interest' FORMAT = comma25.2,
228 PCD_PURCHASE_AMT NUMERIC(8) label =
'PCD Purchase Amount' FORMAT = comma25.2,
229 ECL_12M NUMERIC(8) label =
'ECL (12 Months)' FORMAT = comma25.2,
230 ECL_LIFETIME NUMERIC(8) label =
'ECL (Lifetime)' FORMAT = comma25.2,
231 ECL_STAGE1 NUMERIC(8) label =
'ECL Stage 1' FORMAT = comma25.2,
232 ECL_STAGE2 NUMERIC(8) label =
'ECL Stage 2' FORMAT = comma25.2,
233 ECL NUMERIC(8) label =
'ECL (Staged)' FORMAT = comma25.2,
234 INCURRED_LOSS_AMT NUMERIC(8) label =
'Incurred Loss' FORMAT = comma25.2,
235 ALLOWANCE_AMT NUMERIC(8) label =
'Allowance' FORMAT = comma25.2,
236 RWA NUMERIC(8) label =
'RWA' FORMAT = comma25.2,
237 RULE_ID VARCHAR(32) label =
'Posting Id',
238 RULE_DESC VARCHAR(4096) label =
'Management Action Description',
239 Component_ValueAtRisk NUMERIC(8) label =
'Value-at-Risk (component)' FORMAT = comma25.2,
240 Component_Economic_Capital NUMERIC(8) label =
'Economic Capital (component)' FORMAT = comma25.2,
241 ValueAtRisk NUMERIC(8) label =
'Value-at-Risk' FORMAT = comma25.2,
242 ValueAtRisk_Alpha NUMERIC(8) label =
'Value-at-Risk Alpha' FORMAT = comma25.2,
243 Economic_Capital NUMERIC(8) label =
'Economic Capital' FORMAT = comma25.2,
244 VAR_SECTOR1 NUMERIC(8) label =
'Value-at-Risk Sector 1' FORMAT = comma25.2,
245 VAR_SECTOR2 NUMERIC(8) label =
'Value-at-Risk Sector 2' FORMAT = comma25.2,
246 VAR_SECTOR3 NUMERIC(8) label =
'Value-at-Risk Sector 3' FORMAT = comma25.2,
247 VAR_SECTOR4 NUMERIC(8) label =
'Value-at-Risk Sector 4' FORMAT = comma25.2,
248 EconomicCapital_SECTOR1 NUMERIC(8) label =
'Economic Capital Sector 1' FORMAT = comma25.2,
249 EconomicCapital_SECTOR2 NUMERIC(8) label =
'Economic Capital Sector 2' FORMAT = comma25.2,
250 EconomicCapital_SECTOR3 NUMERIC(8) label =
'Economic Capital Sector 3' FORMAT = comma25.2,
251 EconomicCapital_SECTOR4 NUMERIC(8) label =
'Economic Capital Sector 4' FORMAT = comma25.2,
252 ExpectedLoss NUMERIC(8) label =
'Expected Loss' FORMAT = comma25.2,
253 EvalDate DATE label =
'Evaluation Date' FORMAT = yymmddd10.,
254 HORIZON NUMERIC(8) label =
'Horizon',
255 INITIAL_RISK_RATING VARCHAR(32) label =
'Initial Risk Rating',
256 TO_RISK_RATING VARCHAR(32) label =
'Migrated Risk Rating',
257 OUTSTANDING_AMT NUMERIC(8) label =
'Outstanding Amount' FORMAT = comma25.2,
258 DEFAULT_AMT NUMERIC(8) label =
'Default Amount' FORMAT = comma25.2,
259 PD NUMERIC(8) label =
'PD' FORMAT = percent8.2,
260 EAD_AMT NUMERIC(8) label =
'EAD Amount' FORMAT = comma25.2,
261 EL NUMERIC(8) label =
'EL Rate' FORMAT = percent8.2,
262 EL_AMT NUMERIC(8) label =
'EL Amount' FORMAT = comma25.2,
263 BASECASE_EL NUMERIC(8) label =
'Time 0 EL Amount' FORMAT = comma25.2,
264 INDIVIDUAL_PROVISION_AMT NUMERIC(8) label =
'Individual Provision Amount' FORMAT = comma25.2,
265 COLLECTIVE_PROVISION_AMT NUMERIC(8) label =
'Collective Provision Amount' FORMAT = comma25.2,
266 TOTAL_PROVISION_AMT NUMERIC(8) label =
'Total Provision Amount' FORMAT = comma25.2,
267 NCO_AMT NUMERIC(8) label =
'Net Charge Off Amount' FORMAT = comma25.2,
268 EXPECTEDSHORTFALL NUMERIC(8) label =
'Expected Short Fall' FORMAT = comma25.2,
269 COMPONENT_EXPECTEDSHORTFALL NUMERIC(8) label =
'Expected Short Fall (component)' FORMAT = comma25.2,
270 ALTYPE VARCHAR(5) label =
'AL Type',
271 ASSET_CLASS VARCHAR(32) label =
'Asset Class',
272 COUNTERPARTY_NAME VARCHAR(42) label =
'Counterparty Name',
273 COUNTERPARTYTYPE VARCHAR(100) label =
'Counterparty Type',
274 VARWO NUMERIC(8) label =
'Value-at-risk (without)' FORMAT = comma25.2,
275 INCVAR NUMERIC(8) label =
'Value-at-risk (incremental)' FORMAT = comma25.2,
276 MYVAR NUMERIC(8) label =
'Value-at-risk (custom measure)' FORMAT = comma25.2,
277 MYVAR95 NUMERIC(8) label =
'Value-at-risk (custom measure 95)' FORMAT = comma25.2,
278 ESWO NUMERIC(8) label =
'Expected Shortfall (without)' FORMAT = comma25.2,
279 INCES NUMERIC(8) label =
'Expected Shortfall (incremental)' FORMAT = comma25.2,
280 MYES NUMERIC(8) label =
'Expected Shortfall (custom measure)' FORMAT = comma25.2,
281 MYES95 NUMERIC(8) label =
'Expected Shortfall (custom measure 95)' FORMAT = comma25.2,
282 SIMULATIONPART VARCHAR(32) label =
'Simulation Output Variables'