Problem Note 32524: Documentation incorrectly describes details for rare-event scenario processing in SAS® OpRisk VaR
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In the SAS OpRisk VaR 3.2 User's Guide, page 198, the sub-section, "Simulation Time Handling of Scenario Information," paragraph 3 incorrectly describes how rare-events are determined to occur in simulations that include rare-event scenarios.
When a rare-event simulation is added to a matrix cell, the calculations are adjusted to include the possibility that a rare event might occur. If the rare event occurs, then the total losses for that replication might be much higher than they otherwise would have been.
When a replication of a rare-event simulation is performed, first, a Poisson distribution is used to determine the number of rare event occurrences. Typically, this is either 0 (no rare event occurred) or 1 (a single rare event occurred) because the Poisson parameter should be rather small. However, in "very" rare occasions, more than one rare event might occur. For each rare event that occurs, a rare event amount X* is drawn from the rare event severity distribution. The total loss due to rare events is S*, the sum of the X*s. If a rare event does not occur, then the rare event loss amount is set to 0, that is, S*=0.
If in this replication, N standard losses occur, then N draws are made from the severity distribution, the total of which is the amount S.
The final aggregate simulated loss amount for this replication is the sum of the standard aggregate loss and the rare-event aggregate loss, which is (S + S*).
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® for x64 | 3.2 | 4.1 | 9.1 TS1M3 SP4 | 9.2 TS2M0 |
| Microsoft Windows 2000 Advanced Server | 3.2 | 4.1 | 9.1 TS1M3 SP4 | 9.2 TS2M0 | ||
| Microsoft Windows 2000 Datacenter Server | 3.2 | 4.1 | 9.1 TS1M3 SP4 | 9.2 TS2M0 | ||
| Microsoft Windows 2000 Server | 3.2 | 4.1 | 9.1 TS1M3 SP4 | 9.2 TS2M0 | ||
| Microsoft Windows 2000 Professional | 3.2 | 4.1 | 9.1 TS1M3 SP4 | 9.2 TS2M0 | ||
| Microsoft Windows NT Workstation | 3.2 | 9.1 TS1M3 SP4 | ||||
| Microsoft Windows Server 2003 Datacenter Edition | 3.2 | 4.1 | 9.1 TS1M3 SP4 | 9.2 TS2M0 | ||
| Microsoft Windows Server 2003 Enterprise Edition | 3.2 | 4.1 | 9.1 TS1M3 SP4 | 9.2 TS2M0 | ||
| Microsoft Windows Server 2003 Standard Edition | 3.2 | 4.1 | 9.1 TS1M3 SP4 | 9.2 TS2M0 | ||
| Microsoft Windows XP Professional | 3.2 | 4.1 | 9.1 TS1M3 SP4 | 9.2 TS2M0 | ||
| Windows Vista | 3.2 | 4.1 | 9.1 TS1M3 SP4 | 9.2 TS2M0 | ||
| 64-bit Enabled AIX | 3.2 | 4.1 | 9.1 TS1M3 SP4 | 9.2 TS2M0 | ||
| 64-bit Enabled HP-UX | 3.2 | 4.1 | 9.1 TS1M3 SP4 | 9.2 TS2M0 | ||
| 64-bit Enabled Solaris | 3.2 | 4.1 | 9.1 TS1M3 SP4 | 9.2 TS2M0 | ||
| HP-UX IPF | 3.2 | 4.1 | 9.1 TS1M3 SP4 | 9.2 TS2M0 | ||
| Type: | Problem Note |
| Priority: | medium |
| Date Modified: | 2012-09-06 16:05:42 |
| Date Created: | 2008-06-23 15:08:38 |