Problem Note 41098: Credit risk mitigants are allocated incorrectly when running Capital Calculations, Regulatory Calculations, PD Stress Test, or FX Stress Test
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Credit risk mitigants might not be allocated correctly when you run the Capital Calculations, Regulatory Calculations, PD Stress Test, or FX Stress Test stored processes in SAS® Credit Risk Management for Banking.
The cause of this issue is that, in some cases, the effective residual maturity of the credit risk mitigant link is calculated incorrectly. This can happen if, when the program r00_post_regulatory_3.sas is called by a stored process, the variable LINK_MATURITY_DATE is not missing and max(0, YRDIF(&RUNDATE, LINK_MATURITY_DATE, "&DAY_BASIS")) is less than CRM_RESIDUAL_MATURITY.
There is no ERROR message that indicates the incorrect allocation.
Click the Hot Fix tab in this note to access the hot fix for this issue. This hot fix is for SAS Credit Risk Management for Banking 4.6.
Operating System and Release Information
| Product Family | Product | System | Product Release | SAS Release | ||
| Reported | Fixed* | Reported | Fixed* | |||
| SAS System | SAS Credit Risk Management for Banking | HP-UX IPF | 4.2 | 4.6_M1 | 9.2 TS2M3 | |
| 64-bit Enabled Solaris | 4.2 | 4.6_M1 | 9.2 TS2M3 | |||
| 64-bit Enabled HP-UX | 4.2 | 4.6_M1 | 9.2 TS2M3 | |||
| 64-bit Enabled AIX | 4.2 | 4.6_M1 | 9.2 TS2M3 | |||
| Windows Vista for x64 | 4.2 | 4.6_M1 | 9.2 TS2M3 | |||
| Windows Vista | 4.2 | 4.6_M1 | 9.2 TS2M3 | |||
| Windows 7 Ultimate x64 | 4.2 | 4.6_M1 | 9.2 TS2M3 | |||
| Windows 7 Ultimate 32 bit | 4.2 | 4.6_M1 | 9.2 TS2M3 | |||
| Windows 7 Professional x64 | 4.2 | 4.6_M1 | 9.2 TS2M3 | |||
| Windows 7 Professional 32 bit | 4.2 | 4.6_M1 | 9.2 TS2M3 | |||
| Windows 7 Home Premium x64 | 4.2 | 4.6_M1 | 9.2 TS2M3 | |||
| Windows 7 Home Premium 32 bit | 4.2 | 4.6_M1 | 9.2 TS2M3 | |||
| Windows 7 Enterprise x64 | 4.2 | 4.6_M1 | 9.2 TS2M3 | |||
| Windows 7 Enterprise 32 bit | 4.2 | 4.6_M1 | 9.2 TS2M3 | |||
| Microsoft Windows XP Professional | 4.2 | 4.6_M1 | 9.2 TS2M3 | |||
| Microsoft Windows Server 2008 for x64 | 4.2 | 4.6_M1 | 9.2 TS2M3 | |||
| Microsoft Windows Server 2008 | 4.2 | 4.6_M1 | 9.2 TS2M3 | |||
| Microsoft Windows Server 2003 for x64 | 4.2 | 4.6_M1 | 9.2 TS2M3 | |||
| Microsoft Windows Server 2003 Standard Edition | 4.2 | 4.6_M1 | 9.2 TS2M3 | |||
| Microsoft Windows Server 2003 Enterprise Edition | 4.2 | 4.6_M1 | 9.2 TS2M3 | |||
| Microsoft Windows Server 2003 Datacenter Edition | 4.2 | 4.6_M1 | 9.2 TS2M3 | |||
| Linux | 4.2 | 4.6_M1 | 9.2 TS2M3 | |||
| Tru64 UNIX | 4.2 | 4.6_M1 | 9.2 TS2M3 | |||
A fix for this issue for SAS Credit Risk Management for Banking Server 4.6 is available at:
http://ftp.sas.com/techsup/download/hotfix/HF2/C66.html#41098| Type: | Problem Note |
| Priority: | high |
| Date Modified: | 2010-10-05 15:12:07 |
| Date Created: | 2010-09-30 15:37:58 |