SAS Documentation
SASĀ® Solution for Stress Testing
Reference manual - version 08.2021
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market_year_economic_sim.sas
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1
2/*
3 Copyright (C) 2021 SAS Institute Inc. Cary, NC, USA
4*/
5
6/**
7 \file
8 \brief Credit risk MARKET_YEAR_ECONOMIC_SIM table.
9 \details
10
11 |PK |Variable |Type | Required? |Relationships |Label |Description | Required by models |
12 |--------------|---------------------------------------|------------------|-----------|------------------|--------------------------------------------|----------------------------------------------------------------------------------|---------------------------------------------|
13 |![ ](pk.jpg) | <b>REPORTING_DT</b> | NUMERIC(8) | Y | | Reporting Date | SAS Date value | ST - Simulation Based - EC & VaR |
14 | | _DATE_ | NUMERIC(8) | Y | Scenarios | Date | Horizon Date | ST - Simulation Based - EC & VaR |
15 | | SIMULATIONREPLICATION | NUMERIC(8) | Y | Scenarios | Simulation Identifier | Unique identifier for exposure | ST - Simulation Based - EC & VaR |
16 | | SIMULATIONTIME | NUMERIC(8) | Y | Scenarios | Horizon Identifier | Unique identifier for collateral | ST - Simulation Based - EC & VaR |
17 | | USD_CAD | NUMERIC(8) | N | | | | |
18 | | USD_JPY | NUMERIC(8) | N | | | | |
19 | | USD_EUR | NUMERIC(8) | N | | | | |
20 | | USD_BRL | NUMERIC(8) | N | | | | |
21 | | USD_CNH | NUMERIC(8) | N | | | | |
22 | | USD_KRW | NUMERIC(8) | N | | | | |
23 | | USD_TWD | NUMERIC(8) | N | | | | |
24 | | USD_AUD | NUMERIC(8) | N | | | | |
25 | | USD_HKD | NUMERIC(8) | N | | | | |
26 | | EUR_USD | NUMERIC(8) | N | | | | |
27 | | equity_440_hk | NUMERIC(8) | N | | | | |
28 | | equity_173_hk | NUMERIC(8) | N | | | | |
29 | | usd1mlib | NUMERIC(8) | N | | | | |
30 | | usd3mlib | NUMERIC(8) | N | | | | |
31 | | usd6mlib | NUMERIC(8) | N | | | | |
32 | | usd1ylib | NUMERIC(8) | N | | | | |
33 | | usd2ylib | NUMERIC(8) | N | | | | |
34 | | usd3ylib | NUMERIC(8) | N | | | | |
35 | | usd5ylib | NUMERIC(8) | N | | | | |
36 | | usd10ylib | NUMERIC(8) | N | | | | |
37 | | usd15ylib | NUMERIC(8) | N | | | | |
38 | | usd20ylib | NUMERIC(8) | N | | | | |
39 | | usd30ylib | NUMERIC(8) | N | | | | |
40 | | jpy1mlib | NUMERIC(8) | N | | | | |
41 | | jpy3mlib | NUMERIC(8) | N | | | | |
42 | | jpy6mlib | NUMERIC(8) | N | | | | |
43 | | jpy1ylib | NUMERIC(8) | N | | | | |
44 | | jpy2ylib | NUMERIC(8) | N | | | | |
45 | | jpy3ylib | NUMERIC(8) | N | | | | |
46 | | jpy5ylib | NUMERIC(8) | N | | | | |
47 | | jpy10ylib | NUMERIC(8) | N | | | | |
48 | | jpy15ylib | NUMERIC(8) | N | | | | |
49 | | jpy20ylib | NUMERIC(8) | N | | | | |
50 | | jpy30ylib | NUMERIC(8) | N | | | | |
51 | | eur1mlib | NUMERIC(8) | N | | | | |
52 | | eur3mlib | NUMERIC(8) | N | | | | |
53 | | eur6mlib | NUMERIC(8) | N | | | | |
54 | | eur1ylib | NUMERIC(8) | N | | | | |
55 | | eur2ylib | NUMERIC(8) | N | | | | |
56 | | eur3ylib | NUMERIC(8) | N | | | | |
57 | | eur5ylib | NUMERIC(8) | N | | | | |
58 | | eur10ylib | NUMERIC(8) | N | | | | |
59 | | eur15ylib | NUMERIC(8) | N | | | | |
60 | | eur20ylib | NUMERIC(8) | N | | | | |
61 | | eur30ylib | NUMERIC(8) | N | | | | |
62 \ingroup ddlFactCreditRisk
63 \author SAS Institute Inc.
64 \date 2019
65*/
66
67CREATE TABLE &LIBREF..MARKET_YEAR_ECONOMIC_SIM (
68 REPORTING_DT DATE label = '' FORMAT = &DTFMT.,
69 _date_ DATE label = '' FORMAT = &DTFMT.,
70 simulationreplication NUMERIC(8) label = '',
71 simulationtime NUMERIC(8) label = '',
72 USD_CAD NUMERIC(8) label = '',
73 USD_JPY NUMERIC(8) label = '',
74 USD_EUR NUMERIC(8) label = '',
75 USD_BRL NUMERIC(8) label = '',
76 USD_CNH NUMERIC(8) label = '',
77 USD_KRW NUMERIC(8) label = '',
78 USD_TWD NUMERIC(8) label = '',
79 USD_AUD NUMERIC(8) label = '',
80 USD_HKD NUMERIC(8) label = '',
81 EUR_USD NUMERIC(8) label = '',
82 equity_440_hk NUMERIC(8) label = '',
83 equity_173_hk NUMERIC(8) label = '',
84 usd1mlib NUMERIC(8) label = '',
85 usd3mlib NUMERIC(8) label = '',
86 usd6mlib NUMERIC(8) label = '',
87 usd1ylib NUMERIC(8) label = '',
88 usd2ylib NUMERIC(8) label = '',
89 usd3ylib NUMERIC(8) label = '',
90 usd5ylib NUMERIC(8) label = '',
91 usd10ylib NUMERIC(8) label = '',
92 usd15ylib NUMERIC(8) label = '',
93 usd20ylib NUMERIC(8) label = '',
94 usd30ylib NUMERIC(8) label = '',
95 jpy1mlib NUMERIC(8) label = '',
96 jpy3mlib NUMERIC(8) label = '',
97 jpy6mlib NUMERIC(8) label = '',
98 jpy1ylib NUMERIC(8) label = '',
99 jpy2ylib NUMERIC(8) label = '',
100 jpy3ylib NUMERIC(8) label = '',
101 jpy5ylib NUMERIC(8) label = '',
102 jpy10ylib NUMERIC(8) label = '',
103 jpy15ylib NUMERIC(8) label = '',
104 jpy20ylib NUMERIC(8) label = '',
105 jpy30ylib NUMERIC(8) label = '',
106 eur1mlib NUMERIC(8) label = '',
107 eur3mlib NUMERIC(8) label = '',
108 eur6mlib NUMERIC(8) label = '',
109 eur1ylib NUMERIC(8) label = '',
110 eur2ylib NUMERIC(8) label = '',
111 eur3ylib NUMERIC(8) label = '',
112 eur5ylib NUMERIC(8) label = '',
113 eur10ylib NUMERIC(8) label = '',
114 eur15ylib NUMERIC(8) label = '',
115 eur20ylib NUMERIC(8) label = '',
116 eur30ylib NUMERIC(8) label = '',
117 CONSTRAINT PRIM_KEY PRIMARY KEY (REPORTING_DT, _DATE_, SIMULATIONREPLICATION, SIMULATIONTIME)
118);