Credit risk collateral table. More...
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Credit risk collateral table.
PK | Variable | Type | Required? | Relationships | Label | Description |
---|---|---|---|---|---|---|
![]() | REPORTING_DT | NUMERIC(8) | Y | Reporting Date | SAS Date value | |
![]() | ENTITY_ID | VARCHAR(32) | N | entity.sas | Entity Identifier | |
![]() | INSTID | VARCHAR(64) | Y | Instrument Identifier | Unique identifier for an instrument/transaction/account. The name of this column is required to be INSTID by SAS HP Risk. | |
WORKGROUP | VARCHAR(32) | N | Workgroup | SAS Risk Workgroup. Drives the row-level security | ||
INSTTYPE | VARCHAR(32) | N | Instrument Type | The instrument type drives mapping to MIP model groups Category | ||
COUNTERPARTYID | VARCHAR(32) | N | counterparty.sas | Counterparty Id | Unique Identifier for the Counterparty | |
POOL_FLG | VARCHAR(5) | N | Sector 2 Weight Exposure | Weight exposure for VAR calculation based on CreditRisk+ | ||
EXPOSURE_KEY_SPREADTYPE | VARCHAR(16) | N | Sector 3 Weight Exposure | Weight exposure for VAR calculation based on CreditRisk+ | ||
EXPOSURE_KEY_DISCOUNTTYPE | VARCHAR(16) | N | Idiosyncratic PD Volatility | Volatility of probability of default for VAR calculation based on CreditRisk+ | ||
GUARANTEE_VALUE | NUMERIC(8) | N | Sector 2 PD Volatility | Volatility of probability of default for VAR calculation based on CreditRisk+ | ||
PHYSICAL_ASSET_VALUE | NUMERIC(8) | N | Sector 3 PD Volatility | Volatility of probability of default for VAR calculation based on CreditRisk+ | ||
MITIGANT | NUMERIC(8) | N | Mitigant Flag | |||
COLLATERAL | NUMERIC(8) | N | Collateral Flag | a numeric flag that identifies instrument types that are held as collateral but are not owned. | ||
RANDOMSEED | NUMERIC(8) | N | Random Seed Number | Random Seed Number used to control and replicate analysis involving random simulations. |
Definition in file collateral.sas.