During the environment creation process in SAS Market Risk solutions, you might occasionally encounter errors, specifically when registering variables from position data. This issue typically occurs in SAS^® 9.4M7 (TS1M7) and only on Microsoft Windows platforms, which affects certain releases of SAS^® Risk Dimensions^®.

In this scenario, the error messages typically resemble the following:

ERROR: The name "N_BETA" that was read from portfolio data source "PORTFOLIO_xxxx" for instrument "RMOI003T_xxxx" is not the name of an instrument variable of instrument type "xxxx_STOCK".

ERROR: The name "N_BETA_YN" that was read from portfolio data source "PORTFOLIO_xxxx" for instrument "RMOI003T_xxxx" is not the name of an instrument variable of instrument type "xxxx_STOCK".

Cause

The investigation revealed that the issue was not related to the portfolio data or the variable definitions. Instead, the issue arose because the variables from the ms_types.sas7bdat data set were not being correctly registered in SAS Risk Dimensions before the portfolio data was processed. As a result, the system failed to recognize these variables during the portfolio data registration.

You can verify that the required variables exist by examining the ms_types.sas7bdat data set, which is located in the configuration folder. For example, for INSTTYPE='xxxx_STOCK', the data set contains the variables: N_BETA, N_BETA_YN, and N_CLPR.

Also, this issue appears to be specific to Windows and is linked to how SAS Risk Dimensions handles multiple instrument types within a single READTYPES statement. An internal conflict might occur when reading different instrument types together.

Workaround

To work around the issue, run the following macro, which reads instrument types by splitting the READTYPES step by INSTTYPE:

%macro read_types_subsets(input_ds);

proc sql noprint;

select distinct INSTTYPE

into :insttype_list separated by ' '

from &input_ds;

quit;

%let num_insttypes = &sqlobs;

proc risk;

setpath "&env_root";

environment open = "&envnm";

setoptions

nokeeplib

nobacksave

noautosave

;

/* Loop through INSTTYPE values and read each type individually */

%do i = 1 %to &num_insttypes;

%let curr_insttype = %scan(&insttype_list, &i);

readtypes data = mr_conf1.subset_&curr_insttype;

%put Reading types for INSTTYPE: &curr_insttype;

%end;

instdata Portfolio_kis01 file=mr_pos.portfolio_kis01 format=sparse;

sources all_position (Portfolio_kis01) label = "ALL_POSITION";

read sources=all_position out=all_position;

environment save;

run;

%mend;

%read_types_subsets(mr_conf1.Rms_types_1);

This macro ensures that each instrument type is read and registered independently, which avoids the internal conflicts encountered in certain Windows setups.

Registering variables in SAS® Market Risk Solutions returns "ERROR: The name ... that was read from portfolio data ... is not the name . . . "

Cause

Workaround