Credit risk economic_sim table.
More...
Go to the source code of this file.
Credit risk economic_sim table.
PK | Variable | Type | Required? | Relationships | Label | Description | Required by models |
---|---|---|---|---|---|---|---|
![]() | REPORTING_DT | NUMERIC(8) | Y | Reporting Date | SAS Date value | ST - Simulation Based - EC & VaR | |
DATE | NUMERIC(8) | Y | Scenarios | Date | Horizon Date | ST - Simulation Based - EC & VaR | |
SIMULATIONREPLICATION | NUMERIC(8) | Y | Scenarios | Simulation Identifier | Unique identifier for exposure | ST - Simulation Based - EC & VaR | |
SIMULATIONTIME | NUMERIC(8) | Y | Scenarios | Horizon Identifier | Unique identifier for collateral | ST - Simulation Based - EC & VaR | |
CORPORATE_INDEX1 | NUMERIC(8) | N | Scenarios | Corporate Index 1 | Used to randomize the risk factors defined in the scenario data-set | ST - Simulation Based - EC & VaR | |
CORPORATE_INDEX2 | NUMERIC(8) | N | Scenarios | Corporate Index 2 | Used to randomize the risk factors defined in the scenario data-set | ST - Simulation Based - EC & VaR | |
CORPORATE_INDEX3 | NUMERIC(8) | N | Scenarios | Corporate Index 3 | Used to randomize the risk factors defined in the scenario data-set | ST - Simulation Based - EC & VaR | |
GDP_INDEX | NUMERIC(8) | N | Scenarios | GDP Index | Used to randomize the risk factors defined in the scenario data-set | ST - Simulation Based - EC & VaR |
Definition in file economic_sim.sas.