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

Product Family	Product	System	Product Release		SAS Release
			Reported	Fixed*	Reported	Fixed*
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.

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A fix for this issue for SAS OpRisk VaR 4.2 is available at:

http://ftp.sas.com/techsup/download/hotfix/HF2/E78.html#44204

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Type:	Problem Note
Priority:	high

Date Modified:	2011-09-07 15:03:36
Date Created:	2011-09-06 13:50:27