Problem Note 41996: Using multiple severity ranges for a single proxy simulation can result in missing values for quantiles in VaR simulations
In SAS® OpRisk VaR 4.2, only one severity range should be used for a given proxy simulation. If you use different severity ranges in various matrix cells for the same proxy simulation, the resulting VaR simulations might be missing values.
No error is listed in the log for this issue. There is no workaround.
A hotfix is planned for this issue.
Operating System and Release Information
| SAS System | SAS OpRisk VaR | Microsoft® Windows® for 64-Bit Itanium-based Systems | 4.2 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Datacenter 64-bit Edition | 4.2 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Enterprise 64-bit Edition | 4.2 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows XP 64-bit Edition | 4.2 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft® Windows® for x64 | 4.2 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Datacenter Edition | 4.2 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Enterprise Edition | 4.2 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Standard Edition | 4.2 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 for x64 | 4.2 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2008 | 4.2 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2008 for x64 | 4.2 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows XP Professional | 4.2 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Enterprise 32 bit | 4.2 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Enterprise x64 | 4.2 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Home Premium 32 bit | 4.2 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Home Premium x64 | 4.2 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Professional 32 bit | 4.2 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Professional x64 | 4.2 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Ultimate 32 bit | 4.2 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Ultimate x64 | 4.2 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows Vista | 4.2 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows Vista for x64 | 4.2 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| 64-bit Enabled AIX | 4.2 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| 64-bit Enabled HP-UX | 4.2 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| 64-bit Enabled Solaris | 4.2 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| HP-UX IPF | 4.2 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Linux | 4.2 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Linux for x64 | 4.2 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Linux on Itanium | 4.2 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Solaris for x64 | 4.2 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
*
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: | 2011-01-12 10:59:11 |
| Date Created: | 2011-01-03 09:06:59 |
