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SAS OpRisk VaR 3.2 User’s Guide

IP.com Disclosure Number: IPCOM000243399D
Original Publication Date: 2006-Dec-31
Included in the Prior Art Database: 2015-Sep-19
Document File: 484 page(s) / 4M

Publishing Venue

SAS Institute Inc.

This text was extracted from a PDF file.
This is the abbreviated version, containing approximately 3% of the total text.

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SAS® OpRisk VaR 3.2

User's Guide



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The correct bibliographic citation for this manual is as follows: SAS Institute Inc. 2006. SAS® OpRisk VaR 3.2: User's Guide.Cary, NC: SAS Institute Inc.

SAS® OpRisk VaR 3.2: User's Guide

Copyright © 2006, 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 2006

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Contents

Part 1. User Interface Reference Documentation

Chapter 1. Changes and Enhancements for SAS OpRisk VaR 3.2 . . . . . . . . . . . . 3

Chapter 2. Introduction to SAS OpRisk VaR . . . . . . . . . . . . . . . . . . . . . . . 29

Chapter 3. Loading Data into SAS OpRisk VaR . . . . . . . . . . . . . . . . . . . . . 69

Chapter 4. Creating Project Components for SAS OpRisk VaR . . . . . . . . . . . . . . 115

Chapter 5. Creating Projects in SAS OpRisk VaR . . . . . . . . . . . . . . . . . . . . . 199

Chapter 6. Reports in SAS OpRisk VaR . . . . . . . . . . . . . . . . . . . . . . . . . . 297

Chapter 7. Loss Distribution Approach (LDA) . . . . . . . . . . . . . . . . . . . . . . 345

Chapter 8. Severity Fitting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 359

Chapter 9. Frequency Fitting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 387

Chapter 10. VaR Simulation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 401

Part 2. Batch Interface Reference Documentation

415

Chapter 11. The COUNTREG Procedure . . . . . . . . . . . . . . . . . . . . . . . . . 417

Chapter 12. The ANCHOR Procedure . . . . . . . . . . . . . . . . . . . . . ....