Problem Note 40975: Rare events defined using the cross classification variable (CCV) property structure can cause incorrect SAS® OpRisk VaR 4.1 simulation results
If rare event scenarios are defined in the New Scenario window by using a cross classification variable (CCV) property structure that is at more refined hierarchical levels than the project CCV structure, scenario moments calculation that are displayed in the empirical matrix might be incorrect in SAS OpRisk VaR 4.1 because the cell structures differ, and only the first scenario moments are
calculated for each cell. This problem occurs only with scenarios with event type "Certain Event with Independents Effects". (Note that if the CCV structure is used when defining the rare event scenarios, then the calculations are correctly performed.)
There are no error messages and no warnings. There are no workarounds.
Click the Hot Fix tab in this note to access the hot fix for this issue.
Operating System and Release Information
| SAS System | SAS OpRisk VaR | Microsoft® Windows® for x64 | 4.1 | 4.2 | 9.2 TS2M0 | 9.2 TS2M3 |
| Microsoft Windows Server 2003 Datacenter Edition | 4.1 | 4.2 | 9.2 TS2M0 | 9.2 TS2M3 |
| Microsoft Windows Server 2003 Enterprise Edition | 4.1 | 4.2 | 9.2 TS2M0 | 9.2 TS2M3 |
| Microsoft Windows Server 2003 Standard Edition | 4.1 | 4.2 | 9.2 TS2M0 | 9.2 TS2M3 |
| Microsoft Windows Server 2003 for x64 | 4.1 | 4.2 | 9.2 TS2M0 | 9.2 TS2M3 |
| Microsoft Windows Server 2008 for x64 | 4.1 | 4.2 | 9.2 TS2M0 | 9.2 TS2M3 |
| Microsoft Windows XP Professional | 4.1 | 4.2 | 9.2 TS2M0 | 9.2 TS2M3 |
| Windows Vista | 4.1 | 4.2 | 9.2 TS2M0 | 9.2 TS2M3 |
| Windows Vista for x64 | 4.1 | 4.2 | 9.2 TS2M0 | 9.2 TS2M3 |
| 64-bit Enabled AIX | 4.1 | 4.2 | 9.2 TS2M0 | 9.2 TS2M3 |
| 64-bit Enabled HP-UX | 4.1 | 4.2 | 9.2 TS2M0 | 9.2 TS2M3 |
| 64-bit Enabled Solaris | 4.1 | 4.2 | 9.2 TS2M0 | 9.2 TS2M3 |
| HP-UX IPF | 4.1 | 4.2 | 9.2 TS2M0 | 9.2 TS2M3 |
| Linux | 4.1 | 4.2 | 9.2 TS2M0 | 9.2 TS2M3 |
| Linux for x64 | 4.1 | 4.2 | 9.2 TS2M0 | 9.2 TS2M3 |
| Solaris for x64 | 4.1 | 4.2 | 9.2 TS2M0 | 9.2 TS2M3 |
*
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.
| Type: | Problem Note |
| Priority: | high |
| Date Modified: | 2010-09-23 10:05:42 |
| Date Created: | 2010-09-21 11:43:06 |
