Problem Note 44204: LogNormal_GPD body-tail distribution is not fit when KRIs are used
In SAS® OpRisk VaR, if the use of KRIs is specified, the LogNormal-GPD body-tail distribution is not fit. No error or warning message is provided. Other distributions are not affected. The workarounds are to not use KRIs when fitting the LogNormal-GPD body-tail distribution or to use other body-tail distributions.
A hotfix is planned for this issue.
Operating System and Release Information
| 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 | | 9.2 TS2M3 | |
| Windows 7 Home Premium x64 | 4.2 | | 9.2 TS2M3 | |
| Windows 7 Professional 32 bit | 4.2 | | 9.2 TS2M3 | |
| Windows 7 Professional x64 | 4.2 | | 9.2 TS2M3 | |
| Windows 7 Ultimate 32 bit | 4.2 | | 9.2 TS2M3 | |
| Windows 7 Ultimate x64 | 4.2 | | 9.2 TS2M3 | |
| Windows Vista | 4.2 | | 9.2 TS2M3 | |
| Windows Vista for x64 | 4.2 | | 9.2 TS2M3 | |
| 64-bit Enabled AIX | 4.2 | | 9.2 TS2M3 | |
| 64-bit Enabled HP-UX | 4.2 | | 9.2 TS2M3 | |
| 64-bit Enabled Solaris | 4.2 | | 9.2 TS2M3 | |
| HP-UX IPF | 4.2 | | 9.2 TS2M3 | |
| Linux | 4.2 | | 9.2 TS2M3 | |
| Linux for x64 | 4.2 | | 9.2 TS2M3 | |
| Linux on Itanium | 4.2 | | 9.2 TS2M3 | |
| Solaris for x64 | 4.2 | | 9.2 TS2M3 | |
*
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: | 2011-09-07 15:03:36 |
| Date Created: | 2011-09-06 13:50:27 |
