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

The table RWA_WEIGHTS contains RWA weights. More...

Go to the source code of this file.

Detailed Description

The table RWA_WEIGHTS contains RWA weights.

PK Variable Type Required? Label Description Required by models
REPORTING_DT NUMERIC(8) Y Reporting Date Reporting Date ST - Financial Statement Projection
ENTITY_ID VARCHAR(32) Y Entity Identifier Entity Identifier ST - Financial Statement Projection
BALANCE_SHEET_CD VARCHAR(32) Y Balance Sheet Code Balance Sheet Code ST - Financial Statement Projection
FORECAST_HORIZON NUMERIC(8) Y Forecast Horizon Forecast Horizon ST - Financial Statement Projection
GEOGRAPHY_CD VARCHAR(32) Y Geography Code Geography Code
SCENARIO_ID VARCHAR(32) Y Scenario Identifier Scenario Identifier
MOVEMENT_TYPE_CD VARCHAR(32) Y Movement Type Code Movement Type Code
CURRENCY_CD VARCHAR(3) Y Currency Code Currency Code
RWA NUMERIC(8) Y RWA Risk Weighted Assets ST - Financial Statement Projection

Input table that captures risk weights for Balance Sheet Asset line items for different scenarios and forecast times. 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.

Author
SAS Institute Inc.
Date
2019

Definition in file rwa_weights.sas.