SUPPORT / SAMPLES & SAS NOTES
Problem Note 37787: Slow performance is possible with million draw, massive proxy scenario t-copula VaR simulations
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If you run t–copula VaR simulations in SAS® OpRisk VaR, you might experience long run times if both of the following conditions are true:
- you specify a large number of draws (for example, one million)
- you are using proxy scenarios for sub–business lines and sub–risk categories
There is no workaround.
Click the Hot Fix tab in this note to access 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 | Solaris for x64 | 4.1 | 4.1 | 9.2 TS2M0 | 9.2 TS2M3 |
| Linux for x64 | 4.1 | 4.1 | 9.2 TS2M0 | 9.2 TS2M3 | ||
| Linux | 4.1 | 4.1 | 9.2 TS2M0 | 9.2 TS2M3 | ||
| Windows Vista | 4.1 | 4.1 | 9.2 TS2M0 | 9.2 TS2M3 | ||
| Microsoft Windows XP Professional | 4.1 | 4.1 | 9.2 TS2M0 | 9.2 TS2M3 | ||
| Microsoft Windows Server 2003 Enterprise Edition | 4.1 | 4.1 | 9.2 TS2M0 | 9.2 TS2M3 | ||
| Microsoft Windows Server 2003 Datacenter Edition | 4.1 | 4.1 | 9.2 TS2M0 | 9.2 TS2M3 | ||
| HP-UX IPF | 4.1 | 4.1 | 9.2 TS2M0 | 9.2 TS2M3 | ||
| 64-bit Enabled Solaris | 4.1 | 4.1 | 9.2 TS2M0 | 9.2 TS2M3 | ||
| 64-bit Enabled HP-UX | 4.1 | 4.1 | 9.2 TS2M0 | 9.2 TS2M3 | ||
| 64-bit Enabled AIX | 4.1 | 4.1 | 9.2 TS2M0 | 9.2 TS2M3 | ||
| Microsoft Windows Server 2003 Standard Edition | 4.1 | 4.1 | 9.2 TS2M0 | 9.2 TS2M3 | ||
| Microsoft® Windows® for x64 | 4.1 | 4.1 | 9.2 TS2M0 | 9.2 TS2M3 | ||