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

Credit risk MARKET_DAY_ECONOMIC_SIM table.
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Go to the source code of this file.

Detailed Description

Credit risk MARKET_DAY_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
USD_CAD NUMERIC(8) N USD to CAD Exchange Rate USD to CAD exchange rate
USD_JPY NUMERIC(8) N USD to JPY Exchange Rate USD to JPY exchange rate
USD_EUR NUMERIC(8) N USD to EUR Exchange Rate USD to EUR exchange rate
USD_BRL NUMERIC(8) N USD to BRL Exchange Rate USD to BRL exchange rate
USD_CNH NUMERIC(8) N USD to CNH Exchange Rate USD to CNH exchange rate
USD_KRW NUMERIC(8) N USD to KRW Exchange Rate USD to KRW exchange rate
USD_TWD NUMERIC(8) N USD to TWD Exchange Rate USD to TWD exchange rate
USD_AUD NUMERIC(8) N USD to AUD Exchange Rate USD to AUD exchange rate
USD_HKD NUMERIC(8) N USD to HKD Exchange Rate USD to HKD exchange rate
EUR_USD NUMERIC(8) N EUR to USD Exchange Rate EUR to USD exchange rate
equity_440_hk NUMERIC(8) N Equity 440 HK Equity 440 HK
equity_173_hk NUMERIC(8) N Equity 173 HK Equity 173
usd1mlib NUMERIC(8) N USD 1 Month LIBOR Rate US Dollar 1 Month LIBOR Rate
usd3mlib NUMERIC(8) N USD 3 Month LIBOR Rate US Dollar 3 Month LIBOR Rate
usd6mlib NUMERIC(8) N USD 6 Month LIBOR Rate US Dollar 6 Month LIBOR Rate
usd1ylib NUMERIC(8) N USD 1 Year LIBOR Rate US Dollar 1 Year LIBOR Rate
usd2ylib NUMERIC(8) N USD 2 Year LIBOR Rate US Dollar 2 Year LIBOR Rate
usd3ylib NUMERIC(8) N USD 3 Year LIBOR Rate US Dollar 3 Year LIBOR Rate
usd5ylib NUMERIC(8) N USD 5 Year LIBOR Rate US Dollar 5 Year LIBOR Rate
usd10ylib NUMERIC(8) N USD 10 Year LIBOR Rate US Dollar 10 Year LIBOR Rate
usd15ylib NUMERIC(8) N USD 15 Year LIBOR Rate US Dollar 15 Year LIBOR Rate
usd20ylib NUMERIC(8) N USD 20 Year LIBOR Rate US Dollar 20 Year LIBOR Rate
usd30ylib NUMERIC(8) N USD 30 Year LIBOR Rate US Dollar 30 Year LIBOR Rate
jpy1mlib NUMERIC(8) N JPY 1 Month LIBOR Rate Japenese Yen 1 Month LIBOR Rate
jpy3mlib NUMERIC(8) N JPY 3 Month LIBOR Rate Japenese Yen 3 Month LIBOR Rate
jpy6mlib NUMERIC(8) N JPY 6 Month LIBOR Rate Japenese Yen 6 Month LIBOR Rate
jpy1ylib NUMERIC(8) N JPY 1 Year LIBOR Rate Japenese Yen 1 Year LIBOR Rate
jpy2ylib NUMERIC(8) N JPY 2 Year LIBOR Rate Japenese Yen 2 Year LIBOR Rate
jpy3ylib NUMERIC(8) N JPY 3 Year LIBOR Rate Japenese Yen 3 Year LIBOR Rate
jpy5ylib NUMERIC(8) N JPY 5 Year LIBOR Rate Japenese Yen 5 Year LIBOR Rate
jpy10ylib NUMERIC(8) N JPY 10 Year LIBOR Rate Japenese Yen 10 Year LIBOR Rate
jpy15ylib NUMERIC(8) N JPY 15 Year LIBOR Rate Japenese Yen 15 Year LIBOR Rate
jpy20ylib NUMERIC(8) N JPY 20 Year LIBOR Rate Japenese Yen 20 Year LIBOR Rate
jpy30ylib NUMERIC(8) N JPY 30 Year LIBOR Rate Japenese Yen 30 Year LIBOR Rate
eur1mlib NUMERIC(8) N EUR 1 Month LIBOR Rate European Euro 1 Month LIBOR Rate
eur3mlib NUMERIC(8) N EUR 3 Month LIBOR Rate European Euro 3 Month LIBOR Rate
eur6mlib NUMERIC(8) N EUR 6 Month LIBOR Rate European Euro 6 Month LIBOR Rate
eur1ylib NUMERIC(8) N EUR 1 Year LIBOR Rate European Euro 1 Year LIBOR Rate
eur2ylib NUMERIC(8) N EUR 2 Year LIBOR Rate European Euro 2 Year LIBOR Rate
eur3ylib NUMERIC(8) N EUR 3 Year LIBOR Rate European Euro 3 Year LIBOR Rate
eur5ylib NUMERIC(8) N EUR 5 Year LIBOR Rate European Euro 5 Year LIBOR Rate
eur10ylib NUMERIC(8) N EUR 10 Year LIBOR Rate European Euro 10 Year LIBOR Rate
eur15ylib NUMERIC(8) N EUR 15 Year LIBOR Rate European Euro 15 Year LIBOR Rate
eur20ylib NUMERIC(8) N EUR 20 Year LIBOR Rate European Euro 20 Year LIBOR Rate
eur30ylib NUMERIC(8) N EUR 30 Year LIBOR Rate European Euro 30 Year LIBOR Rate
Author
SAS Institute Inc.
Date
2019

Definition in file market_day_economic_sim.sas.