Problem Note 46495: Selected covariance for VaR calculations not applied
In SAS® OpRisk VaR, if no loss data are included in a project and only scenarios are used, then the selected covariance matrix might not be used in the VaR calculations. Instead, an identify matrix is used. There is no error message.
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 XP Professional | 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 Server 2008 | 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 2003 Standard 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 Datacenter 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 Enterprise 64-bit Edition | 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® for 64-Bit Itanium-based Systems | 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: | 2012-05-29 06:35:52 |
| Date Created: | 2012-05-04 15:41:27 |
