Problem Note 46397: VaR calculation failure and errors when using an internal scenario by itself
In SAS® OpRisk VaR, when you add an internal scenario, but do not fit models for any of the cells, and then attempt to compute VaR numbers, the VaR numbers are not computed. Instead, you get one of the following errors, depending on which covariance matrix you select.
- If you select an identity covariance matrix, you get:
Insurance effect calculation cannot be completed
- If you select a shared loss covariance matrix, you get:
ERROR: Invalid dimension specification for array bm. The upper bound
of an array dimension is smaller than its corresponding lower bound.
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 | Microsoft® Windows® for 64-Bit Itanium-based Systems | 4.2 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Datacenter 64-bit Edition | 4.2 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Enterprise 64-bit Edition | 4.2 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows XP 64-bit Edition | 4.2 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft® Windows® for x64 | 4.2 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Datacenter Edition | 4.2 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Enterprise Edition | 4.2 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Standard Edition | 4.2 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 for x64 | 4.2 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2008 | 4.2 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2008 for x64 | 4.2 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows XP Professional | 4.2 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Enterprise 32 bit | 4.2 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Enterprise x64 | 4.2 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Home Premium 32 bit | 4.2 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Home Premium x64 | 4.2 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Professional 32 bit | 4.2 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Professional x64 | 4.2 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Ultimate 32 bit | 4.2 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Ultimate x64 | 4.2 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows Vista | 4.2 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows Vista for x64 | 4.2 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| 64-bit Enabled AIX | 4.2 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| 64-bit Enabled HP-UX | 4.2 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| 64-bit Enabled Solaris | 4.2 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| HP-UX IPF | 4.2 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Linux | 4.2 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Linux for x64 | 4.2 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Linux on Itanium | 4.2 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Solaris for x64 | 4.2 | 5.1 | 9.2 TS2M3 | 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: | 2012-04-24 15:46:13 |
| Date Created: | 2012-04-24 07:31:56 |
