Problem Note 41265: FX haircut might be applied twice when performing optimal allocation
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In SAS® Credit Risk Management for Banking, the calculation of regulatory capital is wrong when you use optimal allocation and a credit risk mitigant value is less than the corresponding exposure value. In such cases, the FX haircut is incorrectly applied twice.
There is no ERROR message that indicates the incorrect calculation.
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 | Microsoft Windows Server 2003 Datacenter Edition | 4.5 | 4.6_M1 | 9.1 TS1M3 SP4 | 9.2 TS2M3 |
| Microsoft Windows Server 2003 Enterprise Edition | 4.5 | 4.6_M1 | 9.1 TS1M3 SP4 | 9.2 TS2M3 | ||
| Microsoft Windows Server 2003 Standard Edition | 4.5 | 4.6_M1 | 9.1 TS1M3 SP4 | 9.2 TS2M3 | ||
| Microsoft Windows XP Professional | 4.5 | 4.6_M1 | 9.1 TS1M3 SP4 | 9.2 TS2M3 | ||
| Windows Vista | 4.5 | 4.6_M1 | 9.1 TS1M3 SP4 | 9.2 TS2M3 | ||
| Windows Vista for x64 | 4.5 | 4.6_M1 | 9.1 TS1M3 SP4 | 9.2 TS2M3 | ||
| 64-bit Enabled AIX | 4.5 | 4.6_M1 | 9.1 TS1M3 SP4 | 9.2 TS2M3 | ||
| 64-bit Enabled HP-UX | 4.5 | 4.6_M1 | 9.1 TS1M3 SP4 | 9.2 TS2M3 | ||
| 64-bit Enabled Solaris | 4.5 | 4.6_M1 | 9.1 TS1M3 SP4 | 9.2 TS2M3 | ||
| HP-UX IPF | 4.5 | 4.6_M1 | 9.1 TS1M3 SP4 | 9.2 TS2M3 | ||
| Linux | 4.5 | 4.6_M1 | 9.1 TS1M3 SP4 | 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#41265| Type: | Problem Note |
| Priority: | high |
| Date Modified: | 2010-10-25 12:56:05 |
| Date Created: | 2010-10-15 13:18:20 |