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SAS® Risk Dimensions® 4.2 Examples and Exercises

IP.com Disclosure Number: IPCOM000243386D
Original Publication Date: 2005-Mar-31
Included in the Prior Art Database: 2015-Sep-19
Document File: 693 page(s) / 4M

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

Examples and Exercises



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

SAS® Risk Dimensions® 4.2: Examples and Exercises

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.

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1st printing, March 2005
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Contents

Chapter 1. Overview of Configuration Examples, Scripts, and Exercises . . . . . . . . . 1

Chapter 2. Creating an Introductory Analysis Environment - Cowboy Hat . . . . . . . . 11

Chapter 3. Creating an Analysis Environment for a Government Bond . . . . . . . . . . 83

Chapter 4. Creating an Analysis Environment for a Coupon Bond Portfolio . . . . . . . 225

Chapter 5. Creating an Options Analysis Environment . . . . . . . . . . . . . . . . . . 309

Chapter 6. Optimizing Portfolios . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 389

Chapter 7. Backtesting VaR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 431

Chapter 8. Data-Driven Configuration . . . . . . . . . . . . . . . . . . . . . . . . . . . 479

Chapter 9. Scripts for Sample Environment . . . . . . . . . . . . . . . . . . . . . . . . 529

Chapter 10. Exercise 1: Working with Projects in Risk Dimensions . . . . . . . . . . . 633

Chapter 11. Exercise 2: Configuring an Environment in Risk Dimensions . . . . . . . . 641

Chapter 12. Exercise 3: Reporting Results in Risk Dimensions . . . . . . . . . . . . . . 657

Chapter 13. Exercise 4: Buil...