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

It prepares the setup to run the hierarchical copula aggregation. More...

Go to the source code of this file.

Detailed Description

It prepares the setup to run the hierarchical copula aggregation.

Parameters
[in]in_ds_corr_mappingIt contains mapping information about the correlation matrices.
[in]in_ds_all_hierarchy_rowsIt contains information about the hierarchy structure.
[in]in_ds_aggregate_configIt contains information about the aggregation structure.
[in]out_ds_resultsname for the output data set name.
[in]out_librefWhen not running a production model, you can point to a temporary folder to debug intermmediate results. Default: work.
[in]hicopula_parsed_alphaIt selects the alpha level of the Value-at-Risk.
[in]hicopula_parsed_seedIt selects the seed for the random gerating process
[in]hicopula_parsed_ndrawsIt selects the number of samples used in the COPULA simulating process.
[in]hierarchy_levelsNumber of hierarchy levels.
Author
SAS Institute Inc.
Date
2021

Definition in file irmst_riskagg_hicopula_run.sas.