SAS Documentation
SASĀ® Solution for Stress Testing
Reference manual - version 08.2021
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Credit risk economic_sim table.
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Go to the source code of this file.

Detailed Description

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
Author
SAS Institute Inc.
Date
2019

Definition in file economic_sim.sas.