Problem Note 44182: Computation of the offset is incorrect and can cause incorrect frequency parameter estimates
In SAS® OpRisk VaR, the loss observation offset is incorrectly calculated. If there are multiple loss observations for the same time interval and internal business line, this can result in incorrect frequency parameter estimates. There are no warnings or error messages. There is no workaround.
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 | 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 |
| 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 Standard Edition | 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 |
| Microsoft® Windows® for x64 | 4.1 | 5.1 | 9.2 TS2M2 | 9.3 TS1M0 |
| 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 |
| 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 |
*
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: | 2012-04-16 00:51:54 |
| Date Created: | 2011-09-01 11:14:53 |
