Files | |
file | irm_add_function_package.sas [code] |
file | irm_build_hash_lookup.sas [code] |
file | irm_get_swc_property.sas [code] |
Returns the value of a given property for the specified Software Component. | |
file | irm_get_vars_where_cond.sas [code] |
file | irm_session_prepare.sas [code] |
The macro irm_session_prepare.sas will use the values defined inside the RUN_OPTION configuration table to prepare the SAS session. | |
file | irm_set_fa_sasautos.sas [code] |
file | irm_setup.sas [code] |
This macro initializes the IRM environment. | |
file | irm_tslit_convert.sas [code] |
file | irmc_apply_rollup_aggregation.sas [code] |
Apply aggregation rules that map a table onto itself (e.g. rollup rules) | |
file | irmc_cf_eliminated_remap.sas [code] |
It creates a cash flow data set associated with positions selected for elimination. | |
file | irmc_mip_cm_eba2020_gen.sas [code] |
It generates MIP computed methods for the EBA2020 analysis. | |
file | irmc_riskagg_corr_mat_parser.sas [code] |
parse of the correlation matrices used for risk aggregation. | |
file | irmst_aggregate_from_rules.sas [code] |
Perform aggregation of a dataset based on aggregation rules. | |
file | irmst_apply_agg.sas [code] |
Apply aggregated values to a target dataset. | |
file | irmst_apply_agg_bep.sas [code] |
file | irmst_apply_aggregation.sas [code] |
file | irmst_apply_value_calculations.sas [code] |
file | irmst_apply_volume_calculations.sas [code] |
file | irmst_apply_yield_calculations.sas [code] |
file | irmst_build_synthetic_portfolio.sas [code] |
file | irmst_build_tm_from_cube.sas [code] |
file | irmst_calculate_agg_bep_value.sas [code] |
file | irmst_create_capital_adq_summary.sas [code] |
file | irmst_create_ctm_pmx.sas [code] |
file | irmst_create_loss_dist_summary.sas [code] |
Create a loss distribution summary table from a value_at_risk_detail table. | |
file | irmst_create_pd_pmx.sas [code] |
file | irmst_create_port_expanded.sas [code] |
file | irmst_create_rating_formats.sas [code] |
file | irmst_enrich_mip_results.sas [code] |
irmst_enrich_mip_results enriches the model results with the portfolio table. | |
file | irmst_enrich_portfolio.sas [code] |
file | irmst_export_mip_udl.sas [code] |
file | irmst_fft_convolution.sas [code] |
This macro evaluate the compound distribution. . | |
file | irmst_fltr_src_agg_tbl.sas [code] |
file | irmst_get_model_group_maps.sas [code] |
file | irmst_get_required_mdl_vars.sas [code] |
file | irmst_get_scenarios_from_rsm.sas [code] |
Create an economics dataset (that matches MIP requirement) from SAS Risk Scenario Manager (RSM) and SAS Risk Governance Framework (RGF) using analysis_run_id. | |
file | irmst_get_tm_analysis_data.sas [code] |
file | irmst_get_unagg_data.sas [code] |
file | irmst_import_atm_spreadsheet.sas [code] |
irmst_import_atm_spreadsheet processes the ATM spreadsheet uploaded by a user in the UI. | |
file | irmst_load_tm_analysis_data.sas [code] |
file | irmst_load_trans_matrix_results.sas [code] |
file | irmst_market_agg_bep_analysis.sas [code] |
It stresses risk measurements (VaR, EC and Expected Shortfall) at the aggregate level. | |
file | irmst_market_regenerate_econsim.sas [code] |
This macro regenerates the economic simulation data using the scenario data. | |
file | irmst_market_risk_factors_def_1.sas [code] |
file | irmst_market_risk_factors_def_2.sas [code] |
file | irmst_market_risk_funs_def_1.sas [code] |
file | irmst_market_risk_funs_def_2.sas [code] |
file | irmst_market_risk_funs_def_3.sas [code] |
file | irmst_recombine_bep.sas [code] |
The macro rsk_recombine.sas stacks the set of partitioned tables into one non-partitioned table. | |
file | irmst_riskagg_corr_mat_check.sas [code] |
Linear aggregation of risk. | |
file | irmst_riskagg_hicopula.sas [code] |
hicopula aggregation of risk. | |
file | irmst_riskagg_hicopula_run.sas [code] |
It prepares the setup to run the hierarchical copula aggregation. | |
file | irmst_riskagg_linear.sas [code] |
Linear aggregation of risk. | |
file | irmst_run_atm_overlay.sas [code] |
irmst_run_atm_overlay joins the user specified ATM with the existing transition matrix and stores it as analysis data. | |
file | irmst_weight_mip_results.sas [code] |
irmst_weight_mip_results performs scenario weighting on the MIP model results. | |