Problem Note 44101: Q-Q plot drops near the body-tail cutoff
When you fit a body-tail distribution in SAS® OpRisk VaR, the inverse CDF is computed incorrectly when the probability of observability is not 1. This causes the simulations for the body-tail distributions to be incorrect. The problem occurs because of a redundant scaling of the CDF of the tail distribution, and the effect can be seen in the Q-Q plots as the plot jumps down near the body-tail cutoff. Because the simulations are incorrect, the VaR values are also affected.
To circumvent this problem, avoid use of the body-tail distributions.
Click the Hot Fix tab in this note to access the hot fix for this issue.
The hot fix is for SAS OpRisk VaR 4.1_M3. If you have an earlier version of 4.1, such as 4.1_M2, then you need to apply the M3 maintenance release before you can apply this hot fix. To verify the release information for your SAS OpRisk VaR installation, see SAS Note 35968. For information about requesting and applying a maintenance release, see http://support.sas.com/software/maintenance/index.html.
Operating System and Release Information
| SAS System | SAS OpRisk VaR | Microsoft® Windows® for x64 | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M1 |
| Microsoft Windows Server 2003 Datacenter Edition | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M1 |
| Microsoft Windows Server 2003 Enterprise Edition | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M1 |
| Microsoft Windows Server 2003 Standard Edition | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M1 |
| Microsoft Windows Server 2003 for x64 | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M1 |
| Microsoft Windows Server 2008 | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M1 |
| Microsoft Windows Server 2008 for x64 | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M1 |
| Microsoft Windows XP Professional | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M1 |
| Windows 7 Enterprise 32 bit | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M1 |
| Windows 7 Enterprise x64 | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M1 |
| Windows 7 Home Premium 32 bit | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M1 |
| Windows 7 Home Premium x64 | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M1 |
| Windows 7 Professional 32 bit | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M1 |
| Windows 7 Professional x64 | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M1 |
| Windows 7 Ultimate 32 bit | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M1 |
| Windows 7 Ultimate x64 | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M1 |
| Windows Vista | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M1 |
| Windows Vista for x64 | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M1 |
| 64-bit Enabled AIX | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M1 |
| 64-bit Enabled HP-UX | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M1 |
| 64-bit Enabled Solaris | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M1 |
| HP-UX IPF | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M1 |
| Linux | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M1 |
| Linux for x64 | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M1 |
| Solaris for x64 | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M1 |
*
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: | alert |
| Date Modified: | 2011-09-30 09:23:42 |
| Date Created: | 2011-08-25 12:48:02 |
