/sorin_var

Quick way to compute aggregate VaR in SAs

Primary LanguageSAS

QuickVaR Calculations

Summary Instructions

  • Copy the risk folder onto the system
  • Either ad dthe risk folder to sasautos or include the 3 files in your script
  • Run code similar to the one is RiskExample in this folder

Most problems should be easy to solve, but please keep @jacques.rioux@sas.com, informed of modifications you bring so he can maintain an up to date version.