Problem Note 45551: VaR simulation produces all missing values using model-based scenarios
In SAS® OpRisk VaR, frequency simulation might fail during VaR calculation. This is known to occur when using model-based scenarios as a substitute for sufficient loss data. As a result, the VaR values are missing in VaR Result matrix cells that used the model-based scenarios.
The following error is also printed to the SAS log:
ERROR: The ORVA_LOSS_SIM macro ended abnormally.
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 | Linux for x64 | 4.21 | 5.1 | | 9.3 TS1M0 |
| Solaris for x64 | 4.21 | 5.1 | | 9.3 TS1M0 |
| Linux | 4.21 | 5.1 | | 9.3 TS1M0 |
| HP-UX IPF | 4.21 | 5.1 | | 9.3 TS1M0 |
| 64-bit Enabled Solaris | 4.21 | 5.1 | | 9.3 TS1M0 |
| 64-bit Enabled AIX | 4.21 | 5.1 | | 9.3 TS1M0 |
| 64-bit Enabled HP-UX | 4.21 | 5.1 | | 9.3 TS1M0 |
| Windows Vista for x64 | 4.21 | 5.1 | | 9.3 TS1M0 |
| Windows Vista | 4.21 | 5.1 | | 9.3 TS1M0 |
| Windows 7 Ultimate x64 | 4.21 | 5.1 | | 9.3 TS1M0 |
| Windows 7 Professional x64 | 4.21 | 5.1 | | 9.3 TS1M0 |
| Windows 7 Ultimate 32 bit | 4.21 | 5.1 | | 9.3 TS1M0 |
| Windows 7 Professional 32 bit | 4.21 | 5.1 | | 9.3 TS1M0 |
| Windows 7 Home Premium x64 | 4.21 | 5.1 | | 9.3 TS1M0 |
| Windows 7 Home Premium 32 bit | 4.21 | 5.1 | | 9.3 TS1M0 |
| Windows 7 Enterprise x64 | 4.21 | 5.1 | | 9.3 TS1M0 |
| Windows 7 Enterprise 32 bit | 4.21 | 5.1 | | 9.3 TS1M0 |
| Microsoft Windows XP Professional | 4.21 | 5.1 | | 9.3 TS1M0 |
| Microsoft Windows Server 2008 for x64 | 4.21 | 5.1 | | 9.3 TS1M0 |
| Microsoft Windows Server 2008 | 4.21 | 5.1 | | 9.3 TS1M0 |
| Microsoft Windows Server 2003 for x64 | 4.21 | 5.1 | | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Standard Edition | 4.21 | 5.1 | | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Enterprise Edition | 4.21 | 5.1 | | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Datacenter Edition | 4.21 | 5.1 | | 9.3 TS1M0 |
| Microsoft® Windows® for x64 | 4.21 | 5.1 | | 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: | 2012-03-07 15:19:14 |
| Date Created: | 2012-02-01 09:52:24 |
