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Ronny_Dsouza
Obsidian | Level 7

Hi All,

 

Currenty engaged with an Energy firm wherein they do a lot of simulation / analysis using SAS Risk Dimension,  Recently they have bought in the SAS BookRunner Solution,  wherein SAS VA is also provided as part of the solution,

 

Hence the firm nows wants to design a Portal, which will allow its Traders , Risk Operation and Market Risk Team do self service on various different type of scenario analysis such as

1) VAR for Current portfolio at any level

2) VAR for new deal and in current portfolio at any level

3) Historical VAR for current portfolio at any level.

4) HIstorical VAR for new deal and in current portfolio at any level.

 

and a host of it.

 

From my experirence, to do this kind of analysis, i would basically build SAS Stored process and have a front end build using HTML / JavaScript and call these STP, however by going through this approach , i dont think i would be leveraging the power of the LASR server or utilize any of the data loaded in memory.

 

is my above assumption right,  is there something i can do wherein user can load the data in LASR and do all the possible analysis.

 

 

A picture of the analysis is attached for reference.

 

Cheers

Ron


self service VAR calculation.jpg
3 REPLIES 3
TriciaAanderud
Lapis Lazuli | Level 10

Your assumption is correct - a stored process does not make use of the LASR server. If you implement VA using stored processes then VA just becomes an uber fancy web portal.

 

Without knowing more specifics - I don't know why SAS VA could not do scenerio analysis you describe. 


Tricia Aanderud

Twitter: @taanderud - Follow me!

Ronny_Dsouza
Obsidian | Level 7

Hey Tricia,

 

My basic assumption is that for any customized calculation i need to use SAS STP, 

 

Furthermore, if i want to run ad hoc analysis such as VAR, EAR etc using LASR, i would need to use HPA procs which would need to be additionally licensed and  believe this isnt something we can do via calculated measures in SAS VA.

 

Please do let me know if my understanding is wrong.

TriciaAanderud
Lapis Lazuli | Level 10
If I follow you - I think that is true. There may be some workarounds but
it would be on a case-by-case basis.

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attachments. -##

Tricia Aanderud

Twitter: @taanderud - Follow me!

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