Problem Note 44201: Parametrization of UNEGBIN is inconsistent, which causes incorrect distribution moments and simulated values
In SAS® OpRisk VaR, the parametrization used in the internal calculations of the user-defined negative binomial (UNEGBIN), a sample distribution provided with the product, is inconsistent. The fitting routine assumes one parametrization, but the cumulative distribution function (CDF) macro and the probability density function (PDF) macro assume an alternative parametrization of the distribution. The fitting results are correct, but the moments and the simulated values are incorrect. There are no warnings or errors. The workaround is to not use the UNEGBIN frequency distribution.
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 x64 | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Datacenter Edition | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Enterprise Edition | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Standard Edition | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 for x64 | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2008 | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2008 for x64 | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows XP Professional | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Enterprise 32 bit | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Enterprise x64 | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Home Premium 32 bit | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Home Premium x64 | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Professional 32 bit | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Professional x64 | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Ultimate 32 bit | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Ultimate x64 | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows Vista | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows Vista for x64 | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| 64-bit Enabled AIX | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| 64-bit Enabled HP-UX | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| 64-bit Enabled Solaris | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| HP-UX IPF | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Linux | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Linux for x64 | 4.1 | 4.21 | 9.2 TS2M3 | 9.3 TS1M0 |
| Solaris for x64 | 4.1 | 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: | 2011-10-04 08:51:47 |
| Date Created: | 2011-09-06 10:20:23 |
