Problem Note 44166: Frequency scaling is incorrectly used and causes incorrect frequency scale parameter estimates for sample user-defined UPOIS and UNEGBIN distributions
In SAS® OpRisk VaR, if frequency scale adjustments are specified, their use results in incorrect frequency scale parameter estimates for sample user-defined UPOIS and UNEGBIN distributions. This is because the scale adjustment factor is incorrectly applied. The scale adjustment factor is used as a multiplier, but should be used as a divisor. Note that other distributions are not effected.
There are no warnings or error messages. The workaround is to not use these distributions.
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 | Solaris for x64 | 4.1 | 5.1 | 9.2 TS2M2 | 9.3 TS1M0 |
| Linux for x64 | 4.1 | 5.1 | 9.2 TS2M2 | 9.3 TS1M0 |
| Linux | 4.1 | 5.1 | 9.2 TS2M2 | 9.3 TS1M0 |
| Windows 7 Home Premium x64 | 4.1 | 5.1 | 9.2 TS2M2 | 9.3 TS1M0 |
| Windows 7 Home Premium 32 bit | 4.1 | 5.1 | 9.2 TS2M2 | 9.3 TS1M0 |
| Windows 7 Enterprise x64 | 4.1 | 5.1 | 9.2 TS2M2 | 9.3 TS1M0 |
| Windows 7 Enterprise 32 bit | 4.1 | 5.1 | 9.2 TS2M2 | 9.3 TS1M0 |
| Microsoft Windows XP Professional | 4.1 | 5.1 | 9.2 TS2M2 | 9.3 TS1M0 |
| Microsoft Windows Server 2008 for x64 | 4.1 | 5.1 | 9.2 TS2M2 | 9.3 TS1M0 |
| Microsoft Windows Server 2008 | 4.1 | 5.1 | 9.2 TS2M2 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 for x64 | 4.1 | 5.1 | 9.2 TS2M2 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Enterprise Edition | 4.1 | 5.1 | 9.2 TS2M2 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Datacenter Edition | 4.1 | 5.1 | 9.2 TS2M2 | 9.3 TS1M0 |
| HP-UX IPF | 4.1 | 5.1 | 9.2 TS2M2 | 9.3 TS1M0 |
| 64-bit Enabled Solaris | 4.1 | 5.1 | 9.2 TS2M2 | 9.3 TS1M0 |
| 64-bit Enabled HP-UX | 4.1 | 5.1 | 9.2 TS2M2 | 9.3 TS1M0 |
| 64-bit Enabled AIX | 4.1 | 5.1 | 9.2 TS2M2 | 9.3 TS1M0 |
| Windows Vista for x64 | 4.1 | 5.1 | 9.2 TS2M2 | 9.3 TS1M0 |
| Windows Vista | 4.1 | 5.1 | 9.2 TS2M2 | 9.3 TS1M0 |
| Windows 7 Ultimate x64 | 4.1 | 5.1 | 9.2 TS2M2 | 9.3 TS1M0 |
| Windows 7 Ultimate 32 bit | 4.1 | 5.1 | 9.2 TS2M2 | 9.3 TS1M0 |
| Windows 7 Professional x64 | 4.1 | 5.1 | 9.2 TS2M2 | 9.3 TS1M0 |
| Windows 7 Professional 32 bit | 4.1 | 5.1 | 9.2 TS2M2 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Standard Edition | 4.1 | 5.1 | 9.2 TS2M2 | 9.3 TS1M0 |
| Microsoft® Windows® for x64 | 4.1 | 5.1 | 9.2 TS2M2 | 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: | 2011-09-30 09:25:05 |
| Date Created: | 2011-08-31 11:34:11 |
