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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:
Click the Hot Fix tab in this note to access the hot fix for this issue.
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 |