SAS Products

SAS Risk Dimensions 6.8: Release Notes

August 2017

SAS Risk Dimensions 6.8 provides two new arguments to the SIMULATION statement:

  • SIMULATERFS enables you to simulate all risk factors. SAS Risk Dimensions optimizes to simulate only risk factors used by the current portfolio. This enables you to simulate all risk factors in SAS Risk Dimensions even when the current portfolio or portfolio template does not use them.
  • SIMULATESTEPS enables you to simulate all time points in covariance simulation. SAS Risk Dimensions defaults to scale risk factor values with the square root of time between simulated horizons. This argument forces risk factor simulation along all of the time steps between simulated horizons.