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SAS® Risk Dimensions® 4.2 Analysis and Modeling

IP.com Disclosure Number: IPCOM000243265D
Original Publication Date: 2005-Mar-31
Included in the Prior Art Database: 2015-Sep-18
Document File: 651 page(s) / 5M

Publishing Venue

SAS Institute Inc.

This text was extracted from a PDF file.
This is the abbreviated version, containing approximately 2% of the total text.

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SAS® Risk Dimensions® 4.2

Analysis and Modeling



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The correct bibliographic citation for this manual is as follows: SAS Institute Inc. 2005. SAS ® Risk Dimensions® 4.2: Analysis and Modeling. Cary, NC: SAS Institute Inc.

SAS® Risk Dimensions® 4.2: Analysis and Modeling

Copyright © 2005, SAS Institute Inc., Cary, NC, USA


All rights reserved. Produced in the United States of America.

For a hard-copy book: No part of this publication may be reproduced, stored in a retrieval system, or transmitted, in any form or by any means, electronic, mechanical, photocopying, or otherwise, without the prior written permission of the publisher, SAS Institute Inc.

For a Web download or e-book: Your use of this publication shall be governed by the terms established by the vendor at the time you acquire this publication.

U.S. Government Restricted Rights Notice. Use, duplication, or disclosure of this software and related documentation by the U.S. government is subject to the Agreement with SAS Institute and the restrictions set forth in FAR 52.227-19 Commercial Computer Software-Restricted Rights (June 1987).

SAS Institute Inc., SAS Campus Drive, Cary, North Carolina 27513.
1st printing, March 2005
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Other brand and product names are registered trademarks or trademarks of their respective companies.


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Contents

Chapter 1. Risk Measurement: Concepts and Methods . . . . . . . . . . . . . . . . . . 1

Chapter 2. The Analytical Methods of Risk Dimensions . . . . . . . . . . . . . . . . . 11

Chapter 3. Credit Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23

Chapter 4. Project Editor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79

Chapter 5. Cross Classification Editor . . . . . . . . . . . . . . . . . . . . . . . . . . . 95

Chapter 6. Analysis Editor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 103

Chapter 7. Curve Analyzer . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 189

Chapter 8. Risk Options Window . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 231

Chapter 9. Pricing Functions in the SAS DATA Step . . . . . . . . . . . . . . . . . . . 245

Chapter 10. Model Program Editor . . . . . . . . . . . . . . . . . . . . . . . . . . . . 271

Chapter 11. Monte Carlo Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 381

Chapter 12. The Copula Methodology for the Monte Carlo Analysis . . . . . . . . . . . 401

Chapter 13. De...