topic MIP Read Economic Data in SAS Risk Management

MIP Read Economic Data

chandra_shekhar — Tue, 07 Jul 2020 09:05:59 GMT

Hi All,

I have Inflation as macro economic variable in economic data for past, current & future dates (assuming 30Apr 2020 is reporting date). I need to read inflation rates from reporting date to future dates to compute LGD in MIP UDL. I am using get_rf_by_horizon to read inflation in UDL through a loop. But the function is returning missing values. Refer the below code.

do i = to cnt;

inflan_val[i]=get_rf_by_horizon(Inflation,i);

end;

But when i pass the values as mentioned below, In that case i am getting values.

inflan_val[i]=get_rf_by_horizon(Inflation,0); /*Returns Inflation value for reporting date*/

inflan_val[i]=get_rf_by_horizon(Inflation,-1); /*Return Inflation value previous month of reporting date*/

Anyone can help that how can i read future values of economic data with get_rf_by_horizon function? It would be helpful.

Re: MIP Read Economic Data

yot — Tue, 21 Jul 2020 22:09:48 GMT

In short, the get_rf_by_horizon function cannot access future data. It can only access econ data up to the current horizon being calculated as we should not know the future.

Some tips on this function:

When the get_rf_by_horizon function is in the MAIN block, the offset must be strictly negative. Even though there is now a scenario, the offset is relative to the current horizon. SAS Model Implementation Platform truncates all economic data that occurs after the maximum number of horizons that will be run. Any positive number is guaranteed to have a problem because get_rf_by_horizon will eventually try to access economic data that is not available. Additionally, there is no reason to use an offset of 0 since you can access that risk factor directly without using the function. In fact, there is considerable benefit to not using the function with an offset of 0. The function itself is computationally expensive, so avoiding it is better.

Re: MIP Read Economic Data

chandra_shekhar — Wed, 22 Jul 2020 05:42:33 GMT

Hi,

Thanks to reply. It will be helpful.

I observed a strange thing that when i use the function get_rf_by_horizon in model through expression, in that scenario i am getting the values of economic data for future dates. I don't have any clue how system is reading the future dates values when i execute through models in MIP.

In the model the equation is passed as below:

(get_rf_by_horizon(Inflation,_horizon_) -0.000143567)* 0.056783

I referred the MIP user guide also, It is mentioned in the guide as below:

get_rf_by_horizon(_UER_.State,_HORIZON_)
Note:
For age-indexed variables, the expression typically contains the _HORIZON_ variable.
The _HORIZON_ variable is the index variable in the loop 1 to _MAXHORIZON_.

Can you explain ?

Re: MIP Read Economic Data

yot — Wed, 22 Jul 2020 19:25:52 GMT

Yes, the behavior of the function is dependent on the method and block it is called from. For example, within the age_index block of a model (created for you from a model), it can access future horizons as it initializing some values prior to running the main evaluation block. However, in the main block of the UDL (evaluation method), it does not have access to future data. If there is data you want to access there such as a current forecast of interest rates (not the current scenario risk factor), you could pass it in as a PMX.

Here is more detail around what I added last time:

When you use the function get_rf_by_horizon there are a few rules that can help ensure that it is being used correctly. The function should be used only in an INST_INIT or MAIN block in user-defined logic or in a model variable expression. The rules of what is acceptable depends on which one of those places it is found. However, you should normally expect the offset to be negative.

From Model Variable Expression

When the function is inside a model’s variable expression, and that variable is of type static or age-indexed, it is being called from the snapshot date. This is important to know because of the second argument, the offset. Given that it is in a model’s variable expression, if that variable is an age-indexed variable, then the variable expression should use the variable _horizon_ in it. Otherwise, it is either incorrect or in the wrong place.

From INST_INIT

When the function is in INST_INIT, the second argument should be non-positive. This is because it is being called from time period 0 and there is not yet a scenario. Hence, the only valid offsets are less than or equal to zero.

From MAIN

Finally, when the function is in the MAIN block, the offset must be strictly negative. Even though there is now a scenario, the offset is relative to the current horizon. SAS Model Implementation Platform truncates all economic data that occurs after the maximum number of horizons that will be run. Any positive number is guaranteed to have a problem because get_rf_by_horizon will eventually try to access economic data that is not available. Additionally, there is no reason to use an offset of 0 since you can access that risk factor directly without using the function. In fact, there is considerable benefit to not using the function with an offset of 0. The function itself is computationally expensive, so avoiding it is better.

In terms of the blocks and methods running, here is an example of what happens on one thread for a stochastic evaluation (price) method, assuming no scoring and no mitigation:

START OF PER-THREAD BEHAVIOR:

INIT blocks for all model methods

INIT blocks for all price methods

------------- value Portfolio --------------------------------------

loop ( positions in specified portfolio ) {

INST_INIT block of price method -------------------------------

STATIC_INIT blocks of associated model methods |

MAIN block of pricing method for basecase |

... and MAIN blocks of associated model methods |

loop over scenarios { |

AGE_INDEX block of associated model methods | evaluate

loop over specified MCSIMULATIONS { | loan

loop over time horizons { |

MAIN block of price method |

... and MAIN blocks of associated model methods |

} |

} -------------------------------------------------------------

}

TERM blocks for all price methods

TERM blocks for all model methods

END OF PER-THREAD BEHAVIOR

Re: MIP Read Economic Data

yot — Thu, 23 Jul 2020 18:55:50 GMT

That text I pasted was from the new Best Practices guide that was just added to the MIP 3.2 documentation. The link can be found here: https://go.documentation.sas.com/?cdcId=modimpcdc&cdcVersion=3.2&docsetId=modimpug&docsetTarget=n14vu3iz5hzfatn11ihq5mbo5ivk.htm&locale=en

or by searching the MIP 3.2 doc for "Best Practices". I hope you find it useful.