SAS Documentation
SASĀ® Solution for Stress Testing
Reference manual - version 08.2021
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market_day_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_DAY_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 | | USD to CAD Exchange Rate | USD to CAD exchange rate | |
18 | | USD_JPY | NUMERIC(8) | N | | USD to JPY Exchange Rate | USD to JPY exchange rate | |
19 | | USD_EUR | NUMERIC(8) | N | | USD to EUR Exchange Rate | USD to EUR exchange rate | |
20 | | USD_BRL | NUMERIC(8) | N | | USD to BRL Exchange Rate | USD to BRL exchange rate | |
21 | | USD_CNH | NUMERIC(8) | N | | USD to CNH Exchange Rate | USD to CNH exchange rate | |
22 | | USD_KRW | NUMERIC(8) | N | | USD to KRW Exchange Rate | USD to KRW exchange rate | |
23 | | USD_TWD | NUMERIC(8) | N | | USD to TWD Exchange Rate | USD to TWD exchange rate | |
24 | | USD_AUD | NUMERIC(8) | N | | USD to AUD Exchange Rate | USD to AUD exchange rate | |
25 | | USD_HKD | NUMERIC(8) | N | | USD to HKD Exchange Rate | USD to HKD exchange rate | |
26 | | EUR_USD | NUMERIC(8) | N | | EUR to USD Exchange Rate | EUR to USD exchange rate | |
27 | | equity_440_hk | NUMERIC(8) | N | | Equity 440 HK | Equity 440 HK | |
28 | | equity_173_hk | NUMERIC(8) | N | | Equity 173 HK | Equity 173 | |
29 | | usd1mlib | NUMERIC(8) | N | | USD 1 Month LIBOR Rate | US Dollar 1 Month LIBOR Rate | |
30 | | usd3mlib | NUMERIC(8) | N | | USD 3 Month LIBOR Rate | US Dollar 3 Month LIBOR Rate | |
31 | | usd6mlib | NUMERIC(8) | N | | USD 6 Month LIBOR Rate | US Dollar 6 Month LIBOR Rate | |
32 | | usd1ylib | NUMERIC(8) | N | | USD 1 Year LIBOR Rate | US Dollar 1 Year LIBOR Rate | |
33 | | usd2ylib | NUMERIC(8) | N | | USD 2 Year LIBOR Rate | US Dollar 2 Year LIBOR Rate | |
34 | | usd3ylib | NUMERIC(8) | N | | USD 3 Year LIBOR Rate | US Dollar 3 Year LIBOR Rate | |
35 | | usd5ylib | NUMERIC(8) | N | | USD 5 Year LIBOR Rate | US Dollar 5 Year LIBOR Rate | |
36 | | usd10ylib | NUMERIC(8) | N | | USD 10 Year LIBOR Rate | US Dollar 10 Year LIBOR Rate | |
37 | | usd15ylib | NUMERIC(8) | N | | USD 15 Year LIBOR Rate | US Dollar 15 Year LIBOR Rate | |
38 | | usd20ylib | NUMERIC(8) | N | | USD 20 Year LIBOR Rate | US Dollar 20 Year LIBOR Rate | |
39 | | usd30ylib | NUMERIC(8) | N | | USD 30 Year LIBOR Rate | US Dollar 30 Year LIBOR Rate | |
40 | | jpy1mlib | NUMERIC(8) | N | | JPY 1 Month LIBOR Rate | Japenese Yen 1 Month LIBOR Rate | |
41 | | jpy3mlib | NUMERIC(8) | N | | JPY 3 Month LIBOR Rate | Japenese Yen 3 Month LIBOR Rate | |
42 | | jpy6mlib | NUMERIC(8) | N | | JPY 6 Month LIBOR Rate | Japenese Yen 6 Month LIBOR Rate | |
43 | | jpy1ylib | NUMERIC(8) | N | | JPY 1 Year LIBOR Rate | Japenese Yen 1 Year LIBOR Rate | |
44 | | jpy2ylib | NUMERIC(8) | N | | JPY 2 Year LIBOR Rate | Japenese Yen 2 Year LIBOR Rate | |
45 | | jpy3ylib | NUMERIC(8) | N | | JPY 3 Year LIBOR Rate | Japenese Yen 3 Year LIBOR Rate | |
46 | | jpy5ylib | NUMERIC(8) | N | | JPY 5 Year LIBOR Rate | Japenese Yen 5 Year LIBOR Rate | |
47 | | jpy10ylib | NUMERIC(8) | N | | JPY 10 Year LIBOR Rate | Japenese Yen 10 Year LIBOR Rate | |
48 | | jpy15ylib | NUMERIC(8) | N | | JPY 15 Year LIBOR Rate | Japenese Yen 15 Year LIBOR Rate | |
49 | | jpy20ylib | NUMERIC(8) | N | | JPY 20 Year LIBOR Rate | Japenese Yen 20 Year LIBOR Rate | |
50 | | jpy30ylib | NUMERIC(8) | N | | JPY 30 Year LIBOR Rate | Japenese Yen 30 Year LIBOR Rate | |
51 | | eur1mlib | NUMERIC(8) | N | | EUR 1 Month LIBOR Rate | European Euro 1 Month LIBOR Rate | |
52 | | eur3mlib | NUMERIC(8) | N | | EUR 3 Month LIBOR Rate | European Euro 3 Month LIBOR Rate | |
53 | | eur6mlib | NUMERIC(8) | N | | EUR 6 Month LIBOR Rate | European Euro 6 Month LIBOR Rate | |
54 | | eur1ylib | NUMERIC(8) | N | | EUR 1 Year LIBOR Rate | European Euro 1 Year LIBOR Rate | |
55 | | eur2ylib | NUMERIC(8) | N | | EUR 2 Year LIBOR Rate | European Euro 2 Year LIBOR Rate | |
56 | | eur3ylib | NUMERIC(8) | N | | EUR 3 Year LIBOR Rate | European Euro 3 Year LIBOR Rate | |
57 | | eur5ylib | NUMERIC(8) | N | | EUR 5 Year LIBOR Rate | European Euro 5 Year LIBOR Rate | |
58 | | eur10ylib | NUMERIC(8) | N | | EUR 10 Year LIBOR Rate | European Euro 10 Year LIBOR Rate | |
59 | | eur15ylib | NUMERIC(8) | N | | EUR 15 Year LIBOR Rate | European Euro 15 Year LIBOR Rate | |
60 | | eur20ylib | NUMERIC(8) | N | | EUR 20 Year LIBOR Rate | European Euro 20 Year LIBOR Rate | |
61 | | eur30ylib | NUMERIC(8) | N | | EUR 30 Year LIBOR Rate | European Euro 30 Year LIBOR Rate | |
62 \ingroup ddlFactCreditRisk
63 \author SAS Institute Inc.
64 \date 2019
65*/
66
67CREATE TABLE &LIBREF..MARKET_DAY_ECONOMIC_SIM (
68 REPORTING_DT DATE label = 'Reporting Date' FORMAT = &DTFMT.,
69 _date_ DATE label = 'Date' FORMAT = &DTFMT.,
70 simulationreplication NUMERIC(8) label = 'Simulation Identifier',
71 simulationtime NUMERIC(8) label = 'Horizon Identifier',
72 USD_CAD NUMERIC(8) label = 'USD to CAD Exchange Rate',
73 USD_JPY NUMERIC(8) label = 'USD to JPY Exchange Rate',
74 USD_EUR NUMERIC(8) label = 'USD to EUR Exchange Rate',
75 USD_BRL NUMERIC(8) label = 'USD to BRL Exchange Rate',
76 USD_CNH NUMERIC(8) label = 'USD to CNH Exchange Rate',
77 USD_KRW NUMERIC(8) label = 'USD to KRW Exchange Rate',
78 USD_TWD NUMERIC(8) label = 'USD to TWD Exchange Rate',
79 USD_AUD NUMERIC(8) label = 'USD to AUD Exchange Rate',
80 USD_HKD NUMERIC(8) label = 'USD to HKD Exchange Rate',
81 EUR_USD NUMERIC(8) label = 'EUR to USD Exchange Rate',
82 equity_440_hk NUMERIC(8) label = 'Equity 440 HK',
83 equity_173_hk NUMERIC(8) label = 'Equity 173 HK',
84 usd1mlib NUMERIC(8) label = 'USD 1 Month LIBOR Rate',
85 usd3mlib NUMERIC(8) label = 'USD 3 Month LIBOR Rate',
86 usd6mlib NUMERIC(8) label = 'USD 6 Month LIBOR Rate',
87 usd1ylib NUMERIC(8) label = 'USD 1 Year LIBOR Rate',
88 usd2ylib NUMERIC(8) label = 'USD 2 Year LIBOR Rate',
89 usd3ylib NUMERIC(8) label = 'USD 3 Year LIBOR Rate',
90 usd5ylib NUMERIC(8) label = 'USD 5 Year LIBOR Rate',
91 usd10ylib NUMERIC(8) label = 'USD 10 Year LIBOR Rate',
92 usd15ylib NUMERIC(8) label = 'USD 15 Year LIBOR Rate',
93 usd20ylib NUMERIC(8) label = 'USD 20 Year LIBOR Rate',
94 usd30ylib NUMERIC(8) label = 'USD 30 Year LIBOR Rate',
95 jpy1mlib NUMERIC(8) label = 'JPY 1 Month LIBOR Rate',
96 jpy3mlib NUMERIC(8) label = 'JPY 3 Month LIBOR Rate',
97 jpy6mlib NUMERIC(8) label = 'JPY 6 Month LIBOR Rate',
98 jpy1ylib NUMERIC(8) label = 'JPY 1 Year LIBOR Rate',
99 jpy2ylib NUMERIC(8) label = 'JPY 2 Year LIBOR Rate',
100 jpy3ylib NUMERIC(8) label = 'JPY 3 Year LIBOR Rate',
101 jpy5ylib NUMERIC(8) label = 'JPY 5 Year LIBOR Rate',
102 jpy10ylib NUMERIC(8) label = 'JPY 10 Year LIBOR Rate',
103 jpy15ylib NUMERIC(8) label = 'JPY 15 Year LIBOR Rate',
104 jpy20ylib NUMERIC(8) label = 'JPY 20 Year LIBOR Rate',
105 jpy30ylib NUMERIC(8) label = 'JPY 30 Year LIBOR Rate',
106 eur1mlib NUMERIC(8) label = 'EUR 1 Month LIBOR Rate',
107 eur3mlib NUMERIC(8) label = 'EUR 3 Month LIBOR Rate',
108 eur6mlib NUMERIC(8) label = 'EUR 6 Month LIBOR Rate',
109 eur1ylib NUMERIC(8) label = 'EUR 1 Year LIBOR Rate',
110 eur2ylib NUMERIC(8) label = 'EUR 2 Year LIBOR Rate',
111 eur3ylib NUMERIC(8) label = 'EUR 3 Year LIBOR Rate',
112 eur5ylib NUMERIC(8) label = 'EUR 5 Year LIBOR Rate',
113 eur10ylib NUMERIC(8) label = 'EUR 10 Year LIBOR Rate',
114 eur15ylib NUMERIC(8) label = 'EUR 15 Year LIBOR Rate',
115 eur20ylib NUMERIC(8) label = 'EUR 20 Year LIBOR Rate',
116 eur30ylib NUMERIC(8) label = 'EUR 30 Year LIBOR Rate',
117 CONSTRAINT PRIM_KEY PRIMARY KEY (REPORTING_DT, _DATE_, SIMULATIONREPLICATION, SIMULATIONTIME)
118);