Problem Note 42451: Division by zero can cause failure of VaR sensitivity calculations and parameter variance confidence intervals
In SAS® OpRisk VaR 4.2 when simulating a severity distribution that contains KRIs, the forecasted values of the KRIs can become very large, so that the simulated losses exceed the maximum loss. In this case, the distribution of simulated losses is a point mass at the maximum loss, and the following calculations fail:
- Parameter-variance confidence intervals
- VaR sensitivities to the parameters
- VaR sensitivities to the KRIs
When this condition occurs, messages like the following are reported in the SAS log:
NOTE: Division by zero detected at line XXX at column YY
ERROR: The conf_interval macro ended abnormally.
If this condition occurs, it is evidence that the severity model with the KRIs is not a reasonable model, and users are encouraged to closely examine the included KRIs, the KRI parameter estimates, and the forecasted values of the KRIs.
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 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: | 2011-02-21 14:44:41 |
| Date Created: | 2011-02-18 14:16:58 |
