SAS Documentation
SASĀ® Solution for Stress Testing
Reference manual - version 08.2021
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riskagg_hicopula_bank2_corr.sas File Reference

Correlation Matrix for SAS Bank 2. More...

Go to the source code of this file.

Detailed Description

Correlation Matrix for SAS Bank 2.

PK Variable Type Required? Relationships Label Description
REPORTING_DT NUMERIC(8) Y Reporting Date SAS Date value.
SCENARIO_ID VARCHAR(32) Y Scenario Id Unique scenario id used for the analysis. Each forecast time has a separate scenario id
RISK_MEASURE VARCHAR(32) Y Risk Source Measure It identifies the type of risk measurement (VaR, EC, etc..).
TYPE VARCHAR(32) y Dependence Type type of dependence matrix: corr
PARM1 VARCHAR(64) y First correlation Component First element to which the correlation refers to.
PARM2 VARCHAR(64) y Second correlation Component Second element to which the correlation refers to.
MEASUREMENT NUMERIC(8) y Dependence Measurement Dependence Measurement
Author
SAS Institute Inc.
Date
2020

Definition in file riskagg_hicopula_bank2_corr.sas.