
06-18-2020
MHarvey_sas
SAS Moderator
Member since
04-02-2015
- 8 Posts
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About
I am a Senior Technical Writer at SAS, serving as documentation project leader for various financial risk management solutions and SAS Event Stream Processing. Previously, I worked as a manager and a writer for EMC. I have a BA in English and Psychology from the University of North Carolina at Chapel Hill and an MA in Experimental Psychology from Duke University. I have served in various leadership positions for the Carolina chapter of the Society for Technical Communication (STC) and have presented at local and international STC conferences. I was honored to be named an STC Fellow in 2011. As an instructor for the Durham Technical Community College Technical Writing program in the late 1980s and early 1990s, I worked to overhaul the curriculum, emphasizing the importance of developing technical curiosity and acquiring technical expertise. I now teach Information Architecture for the Technical Communication Certificate Program for Duke University Continuing Studies.
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Latest posts by MHarvey_sas
Subject Views Posted 2392 04-12-2017 05:15 PM 1384 12-20-2016 02:35 PM 6071 04-22-2016 02:28 PM 1487 04-20-2016 01:49 PM 1934 04-12-2016 10:52 AM 1844 12-18-2015 02:27 PM -
Activity Feed for MHarvey_sas
- Liked SAS Event Stream Processing Code Snippets Now Available! for bkooman. 06-18-2020 09:50 AM
- Posted Re: Change length of reserved variable (Currency) in RD on SAS Risk Management. 04-12-2017 05:15 PM
- Posted Re: Feedback requested on risk documentation on SAS Risk Management. 12-20-2016 02:35 PM
- Posted Re: New book available on Financial Risk Management on SAS Risk Management. 04-22-2016 02:28 PM
- Posted Feedback requested on risk documentation on SAS Risk Management. 04-20-2016 01:49 PM
- Posted Re: Facing difficulties in Delta Normal Analysis on SAS Risk Management. 04-12-2016 10:52 AM
- Liked Re: WorkFlow Error for SimonMcGrother. 03-11-2016 08:54 AM
- Liked New book available on Financial Risk Management for SimonMcGrother. 02-15-2016 04:25 PM
- Liked SAS Risk Products for SimonMcGrother. 02-15-2016 09:04 AM
- Posted SAS Risk Dimensions examples on SAS Communities Library. 12-18-2015 02:27 PM
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Posts I Liked
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My Library Contributions
Subject Likes Author Latest Post 1 0
04-12-2017
05:15 PM
Hi Claes,
If you set the width of the currency variable in the data set to 3, then the warning ought to go away.
The error is telling you that you cannot use a reserved variable name when you declare an instrument variable. The Procedures Guide lists system-defined variables and other reserved variable names.
Please let me know if this solves your problem.
Thanks,
Michael
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12-20-2016
02:35 PM
Thanks for this feedback Steen! SAS Risk Dimensions examples are available online here: http://support.sas.com/software/products/riskdimen/examples/index.html There are three examples to get started with the product and nine that explore more advanced features. Each posted example provides a link to a zip file that contains source code to run it. There's also an example for using SAS High-Performance Risk available here: http://support.sas.com/software/products/riskdimen/examples/hp_assess_marketrisk.html As with the SAS Risk Dimensions examples, there's a link to a zip file that contains source code. Beginning with SAS Risk Dimensions 6.7 and SAS High-Performance Risk 3.7, product documentation is available through an online Help Center. You can access the entire set of documents in HTML format. Providing the documentation in this format has enabled us to provide more extensive cross-references between topics and documents. A button in the top banner of the Help Center enables you to produce PDFs as you want. Thanks for your suggestion to provide an example specific to risk factor transformations. I'll explore creating one with the development team. Best, Michael Harvey
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04-22-2016
02:28 PM
Thanks for posting this Simon.
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04-20-2016
01:49 PM
We're interested in your feedback on the user's guides, procedures guides, administrator's guides, and other manuals that we provide to support SAS risk solutions. Specifically, we'd like to know:
Can you quickly find the information you need to do your work? Is there something we can do to make information more readily accessible?
Are the examples helpful? Is there an example or use case not there that you'd like to see?
Are the technical details that we provide clear and complete?
We look forward to your feedback.
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04-12-2016
10:52 AM
Hello Anindya,
I have consulted with a Principal Research Statistician in the risk organization. He says that when risk complains about an aggregation having missing sensitivities, it is not complaining about the covariance or correlation matrix. Aggregations are subportfolios. The error is telling you that some subportfolio has missing values for its sensitivities. Either the value of a position is missing at perturbed Delta Normal state or the pricing method sets rf.der to missing for some risk factor. An error might seem extreme for this kind of problem, but any missing value invalidates the calculation of VaR for that subportfolio. As lower-level sensitivities percolate to the portfolio level, the portfolio level thus contains the same missing values, which invalidates the calculation of VaR there. We recommend you check your positions for missing values.
I hope this helps,
Michael Harvey
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12-18-2015
02:27 PM
Did you know that end-to-end SAS Risk Dimensions examples are available on support.sas.com? They show you how to set up data and run the RISK procedure to perform various types of risk analysis.
To access these examples, go here:
http://support.sas.com/software/products/riskdimen/examples
You can also access them through the product page on the support site:
Go to support.sas.com.
Click Products & Solutions on the left navigation panel.
Click R on the SAS Product Listing: Index A-Z.
Click SAS Risk Dimensions.
On the product-specific resources that appear on the right, click the link to the examples:
There are examples to help you get started with the product:
Assessing Credit Risk
Assessing Market Risk
And there are examples that highlight important product features:
Creating an Analysis Environment for a Coupon Bond Portfolio
Inserting Rare Events into a Simulation
Optimizing Portfolios
Stressing Instrument and Counterparty Variables
Stressing Variables in a Scenario Analysis
Using Cash Flow Legs
Using Copula Aggregation with the AGGREGATION Procedure
Using Distortion Risk Measures
Using Trading Methods
Click the link to read the example's narrative. Each example provides a link to a ZIP file that contains the SAS code to run the example.
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