When you create a playpen in SAS^® Risk Management for Banking, you might encounter the following messages in the SAS log:

• SASCONFIG represents the SAS configuration directory (for example: C:\SAS\Config)
• Levn represents the Levn subdirectory (for example: Lev1)
• userid represents the user ID (for example: sasdemo)
• entity represents the name of the entity (for example: main)
• playpen represents the name of the playpen

To circumvent this problem in SAS Risk Management for Banking, create a 1-by-1 correlation matrix with dummy data in the staging data sets Correlation_Matrix and Correlation_Matrix_Element for each of the following Correlation_Matrix_ID values:

• CREDIT_FACTORS_COVARIANCE
• IR_COVAR_MATRIX
• IR_COVAR_SIM
• IR_SEK_USD_COV
• PL_PARM_COV_STD_EQUITY
• PL_PARM_COV_STD_EQUITY_MONTH

If you would like to run an analysis in SAS Risk Management for Banking that does depend on any of the four correlation matrices that are above, you must create a correlation matrix, as in the instructions above, with the appropriate correlation data. You must also include that correlation matrix in the risk analysis project.

For more information about the data sets Correlation_Matrix and Correlation_Matrix_Element, refer to the SAS® Risk Management for Banking 3.2 Data Dictionary and SAS® Risk Management for Banking 3.2 Data Model. For an example that contains specifications for these data sets, refer to the sample data that is shipped with SAS Risk Management for Banking.

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