White Papers SAS Institute Inc.

SAS Risk Dimensions: Dynamic Risk Factor Modeling Methodology

Because the utility industry is buffeted by risks that vary by the minute - weather, energy consumption and fuel costs to name but a few - their risk management systems need dynamic methodologies that account for non-normally distributed risk factors. This paper describes SAS Dynamic Risk Factor Modeling that enables the risk manager to develop models for specific risk factors, normal or not, and to integrate them with other factors. Dynamic Risk Factor Modeling can provide a clearer understanding of actual risks in the portfolio and enable risk management practitioners to efficiently fit multiple risk factor models simultaneously. This whitepaper discusses how models can be created for risks whose impacts are normally or non-normally distributed, like hurricanes affecting gas supplies. In model-based copula simulations, fitted risk factor models can preserve the appropriate form of the distributions and correlations that interrelate risk factors, generating analyses that provide precisely focused snapshots of portfolio risks.

Sponsor:	SAS Institute Inc.
File Size:	631304 Kb
Date:	May 8, 2008

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