It stresses risk measurements (VaR, EC and Expected Shortfall) at the aggregate level. More...
Go to the source code of this file.
It stresses risk measurements (VaR, EC and Expected Shortfall) at the aggregate level.
[in] | ds_in_portfolio | Input portfolio table. |
[in] | ds_in_projection | Input projection table. Provides assumptions about future volumes for each portfolio segment |
[out] | ds_out | Output table containing the stressed exposure. |
[in] | target_var | Name of the target variable that must satisfy the projection requirements specified by the DS_IN_PROJECTION table |
[in] | absoluteValue_var | Nmae of the variable containing the absolute BEP changes with respect to the base period |
[in] | by_vars | Space separated list of variables that define the segmentation. A separate Copula analysis is performed for each distinct segmentation |
[in] | id_var | Name of the primary key (Identifier) variable in the DS_IN_PORTFOLIO table. |
[in] | horizon_var | Name of the horizon variable in the DS_IN_PROJECTION table. |
[in] | scenario_var | (Optional) Name of the scenario variable in the DS_IN_PROJECTION table. |
[in] | debug | Debug mode: True/False. If True, intermediate temporary tables are preserved. (Default: false) |
Definition in file irmst_market_agg_bep_analysis.sas.