In both the empirical matrix and frequency fitting of SAS^® OpRisk VaR, time intervals which contain no losses are dropped. This effectively increases the estimated frequency of events by dropping the 0 loss cases.

There is no workaround.

Select the Hot Fix tab in this note for information on how to obtain the hot fix for this issue.

Operating System and Release Information

Product Family	Product	System	Product Release		SAS Release
			Reported	Fixed*	Reported	Fixed*
SAS System	SAS OpRisk VaR Server	Microsoft Windows 2000 Professional	1.5	2.5.1		9.1 TS1M3
		Microsoft Windows 2000 Server	1.5	2.5.1		9.1 TS1M3
		Microsoft Windows XP Professional	1.5	2.5.1		9.1 TS1M3
		Microsoft Windows 2000 Datacenter Server	1.5	2.5.1		9.1 TS1M3
		64-bit Enabled AIX	1.5	2.5.1		9.1 TS1M3
		Solaris	1.5	2.5.1		9.1 TS1M3
		64-bit Enabled Solaris	1.5	2.5.1		9.1 TS1M3
		Microsoft Windows 2000 Advanced Server	1.5	2.5.1		9.1 TS1M3
		AIX	1.5	2.5.1		9.1 TS1M3

* For software releases that are not yet generally available, the Fixed Release is the software release in which the problem is planned to be fixed.

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A fix for this issue for SAS OpRisk VaR 2.5 is available at:

http://www.sas.com/techsup/download/hotfix/orv25.html#015331

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Type:	Problem Note
Priority:	alert

Date Modified:	2008-08-26 16:00:52
Date Created:	2005-05-24 16:33:02