Portfolio Sensitivity-3

RiskManager should know Portfoliowise Sensitivity to each RiskClass_Change. SAS helps to get this information by a single modification as follows:- 

How:- Divide the portfolio returns by Portfolio_Name and then find the sensitivity of the Portfolio with RiskClassChanges.

Code:-

PROC REG DATA=PORTFOLIO_EXPOSURE;
BY    Portfolio;  
MODEL Portfolio_Change= RiskClass1_Change  RiskClass2_Change  RiskClass3_Change  RiskClass4_Change;
RUN; 

Result:-

Portfolio wide sensitivity

Portfolio=P1

Parameter Estimates
Variable	DF	Parameter Estimate	Standard Error	t Value	Pr > |t|
Intercept	B	3.26517	1.15629	2.82	0.1059
RiskClass1_Change	1	-0.42081	0.29473	-1.43	0.2895
RiskClass2_Change	0	0	.	.	.
RiskClass3_Change	1	0.37027	0.25425	1.46	0.2826
RiskClass4_Change	1	-2.59599	1.61193	-1.61	0.2486

Portfolio=P2

Parameter Estimates
Variable	DF	Parameter Estimate	Standard Error	t Value	Pr > |t|
Intercept	1	2.55493	2.99265	0.85	0.5501
RiskClass1_Change	1	0.04372	0.22650	0.19	0.8786
RiskClass2_Change	1	-0.30750	0.25530	-1.20	0.4411
RiskClass3_Change	1	-0.31149	0.69722	-0.45	0.7325
RiskClass4_Change	1	20.53124	8.75093	2.35	0.2565

Portfolio=P3

Parameter Estimates
Variable	DF	Parameter Estimate	Standard Error	t Value	Pr > |t|
Intercept	B	0.51805	4.94580	0.10	0.9261
RiskClass1_Change	1	0.70559	1.09317	0.65	0.5848
RiskClass2_Change	0	0	.	.	.
RiskClass3_Change	1	-0.29159	0.69886	-0.42	0.7170
RiskClass4_Change	1	2.95358	4.52728	0.65	0.5811

Conclusion:-  With the help of portfolio wide sensitivity each Portfolio manager can do the required adaptation of their portfolio.