Problem Note 45551: VaR simulation produces all missing values using model-based scenarios
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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
| Product Family | Product | System | Product Release | SAS Release | ||
| Reported | Fixed* | Reported | Fixed* | |||
| 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 | |||
A fix for this issue for SAS OpRisk VaR 4.2 is available at:
http://ftp.sas.com/techsup/download/hotfix/HF2/E78.html#45551A fix for this issue for SAS OpRisk VaR 4.21 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/G66.html#45551| Type: | Problem Note |
| Priority: | high |
| Date Modified: | 2012-03-07 15:19:14 |
| Date Created: | 2012-02-01 09:52:24 |