Problem Note 42288: When rare events are used in SAS® OpRisk VaR 4.2, the resulting parameter confidence intervals are incorrect
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In SAS OpRisk VaR 4.2, if rare events are used for one or more cells, the resulting parameter confidence interval calculations for those cells are incorrect. There are no warnings or errors. There are no workarounds.
*
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.
Instead of attempting to calculate parameter confidence intervals, a warning like the following should be generated:
WARNING: Cannot compute parameter variance CI for CCUID 7 - simulation contains
mixed or non-estimated models. ORVA_CONF_INTERVAL terminating cleanly.
Click the Hot Fix tab in this note to access the hot fix for this issue.
Operating System and Release Information
| Product Family | Product | System | Product Release | SAS Release | ||
| Reported | Fixed* | Reported | Fixed* | |||
| 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 | ||
A fix for this issue for SAS OpRisk VaR Server 4.2 is available at:
http://ftp.sas.com/techsup/download/hotfix/HF2/D13.html#42288A fix for this issue for SAS OpRisk VaR 4.2 is available at:
http://ftp.sas.com/techsup/download/hotfix/HF2/E78.html#42288| Type: | Problem Note |
| Priority: | high |
| Date Modified: | 2011-02-08 14:03:43 |
| Date Created: | 2011-02-03 15:15:59 |