topic SAS MIP Monte Carlo Simulation in SAS Risk Management

SAS MIP Monte Carlo Simulation

DmitryErshov — Fri, 08 Jun 2018 17:24:18 GMT

I created simple UDL code to test Monte Carlo simulation in MIP:

My_Variable is only output variable.

When I registered Scenario Run I specified 100 as number of simulations.

But when I see the result it looks like only one value of My_Variable was simulated for each loan. I can't find any statistics in 'Statistics' panel (ex. Mean, VaR, ...) besides NInst. Why? May by my understanding of Monte Carlo Simulation in MIP is wrong?

Re: SAS MIP Monte Carlo Simulation

cwid05 — Mon, 11 Jun 2018 16:19:08 GMT

If you create a Scenario run, the only statistic you have access to is the mean. Only Economic Simulation runs will produce statistics other than the mean (Min, Max, etc.).

Re: SAS MIP Monte Carlo Simulation

DmitryErshov — Mon, 11 Jun 2018 18:29:55 GMT

Yes, its true! I checked (with debug mode) and can confirmed that mean value was calculated for My_Variable.

Thanks a lot for clarification, cwid05.

Re: SAS MIP Monte Carlo Simulation

LTim — Sat, 27 Apr 2019 21:11:36 GMT

I get the VaR, contribution VaR with economic simulation ? I cannot see any information in the user manual of the MIP. And I wonder how these risk indicators are then computed.

Thanks !