SAS Documentation
SASĀ® Solution for Stress Testing
Reference manual - version 08.2021
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loss_distribution_summary.sas
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1/*
2 Copyright (C) 2019 SAS Institute Inc. Cary, NC, USA
3*/
4
5
6/**
7 \file
8 \brief LOSS_DISTRIBUTION_SUMMARY
9 \details
10
11 | PK |Variable |Type | Required? |Relationships |Label |Description |
12 |--------------|---------------------------------------|------------------|-----------|---------------------------------------------|--------------------------------------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
13 |![ ](pk.jpg) | <b>ENTITY_ID</b> | VARCHAR(32) | N | \link entity.sas \endlink | Entity Identifier | |
14 |![ ](pk.jpg) | <b>RISK_TYPE</b> | VARCHAR(32) | N | | Risk Type | Risk Type |
15 |![ ](pk.jpg) | <b>REPORTING_DT</b> | NUMERIC(8) | Y | | Reporting Date | Reference date for the calculation. Also known as the base date or evaluation date of the portfolio |
16 |![ ](pk.jpg) | <b>SCENARIO_ID</b> | VARCHAR(32) | Y | | Scenario Id | Unique scenario id used for the analysis. Each forecast time has a separate scenario id |
17 | | SCENARIO_NAME | VARCHAR(512) | N | | Scenario Name | Name of the business scenario that was selected as input for analysis run |
18 | | SCENARIO_TYPE | VARCHAR(32) | N | | Scenario Type | Scenario Type - Basecase or Adverse |
19 | | FORECAST_PERIOD | VARCHAR(32) | N | | Forecast Period | Forecast Period expressed as the number of intervals from the Reporting Date. I.e. Year 0 (current period), Year 1, .., Year N |
20 | | FORECAST_TIME | NUMERIC(8) | N | | Forecast Time | Forecast Forecast time horizon |
21 | | EXPECTEDLOSS | NUMERIC(8) | N | | Expected Loss | Expected Loss |
22 | | VALUEATRISK | NUMERIC(8) | N | | Value-at-Risk | Value-at-Risk |
23 | | ValueAtRisk_Alpha | NUMERIC(8) | N | | VaR Level | Level of Value-at-Risk |
24 | | ECONOMIC_CAPITAL | NUMERIC(8) | N | | Economic Capital | Economic Capital |
25
26 \ingroup ddlReportMart
27 \author SAS Institute Inc.
28 \date 2018
29*/
30
31create table &libref..LOSS_DISTRIBUTION_SUMMARY(
32 ENTITY_ID VARCHAR(32) label = 'Entity ID',
33 RISK_TYPE VARCHAR(32) label = 'Risk Type',
34 REPORTING_DT DATE label = "Reporting Date" FORMAT = &DTFMT.,
35 SCENARIO_ID VARCHAR(32) label = 'Scenario Id',
36 SCENARIO_NAME VARCHAR(512) label = 'Scenario Name',
37 SCENARIO_TYPE VARCHAR(32) label = 'Scenario Type',
38 FORECAST_PERIOD VARCHAR(32) label = 'Forecast Period',
39 FORECAST_TIME NUMERIC(8) label = 'Forecast Time',
40 EXPECTEDLOSS NUMERIC(8) label = 'Expected Loss' FORMAT = comma25.2,
41 VALUEATRISK NUMERIC(8) label = 'Value-at-Risk' FORMAT = comma25.2,
42 VALUEATRISK_ALPHA NUMERIC label = 'VaR Level' FORMAT = comma25.2,
43 ECONOMIC_CAPITAL NUMERIC(8) label = 'Economic Capital' FORMAT = comma25.2
44);