Problem Note 46920: A risk factor is not perturbed when set by a transformation method and in a category that is used for marginal or conditional analysis
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In SAS® Risk Dimensions, using categories and transformation methods can inhibit the perturbation of risk factors by analyses and transformation methods. The following conditions describe how you encounter this issue.
A risk factor is set by a transformation method and is in a category. An analysis uses the category conditionally and does not perturb the risk factor. The transformation method should perturb the risk factor for market states in that category because the risk factor is in the conditional category. However, the transformation method fails to perturb the risk factor.
A risk factor is set by a transformation method and is not in a category. An analysis uses the category conditionally and does not perturb the risk factor. The value of the risk factor should be fixed to the base case value for market states in that category because the risk factor is not in the conditional category. However, the transformation method incorrectly perturbs the risk factor.
- A risk factor is in a category. An analysis uses the category marginally and does not perturb the risk factor. The value of the risk factor is the base case value for that simulation case; the behavior is correct. However, subsequent categories in the analysis fail to perturb the risk factor, even if the factor is outside a subsequent marginal category.
There are no error or warning messages.
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 Risk Dimensions Enterprise Edition | Microsoft® Windows® for x64 | 5.31 | 5.4 | 9.3 TS1M0 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Datacenter Edition | 5.31 | 5.4 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Microsoft Windows Server 2003 Enterprise Edition | 5.31 | 5.4 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Microsoft Windows Server 2003 Standard Edition | 5.31 | 5.4 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Microsoft Windows Server 2003 for x64 | 5.31 | 5.4 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Microsoft Windows Server 2008 | 5.31 | 5.4 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Microsoft Windows Server 2008 for x64 | 5.31 | 5.4 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Microsoft Windows XP Professional | 5.31 | 5.4 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Windows 7 Enterprise 32 bit | 5.31 | 5.4 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Windows 7 Enterprise x64 | 5.31 | 5.4 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Windows 7 Home Premium 32 bit | 5.31 | 5.4 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Windows 7 Home Premium x64 | 5.31 | 5.4 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Windows 7 Professional 32 bit | 5.31 | 5.4 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Windows 7 Professional x64 | 5.31 | 5.4 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Windows 7 Ultimate 32 bit | 5.31 | 5.4 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Windows 7 Ultimate x64 | 5.31 | 5.4 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Windows Vista | 5.31 | 5.4 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Windows Vista for x64 | 5.31 | 5.4 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| 64-bit Enabled AIX | 5.31 | 5.4 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| 64-bit Enabled HP-UX | 5.31 | 5.4 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| 64-bit Enabled Solaris | 5.31 | 5.4 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| HP-UX IPF | 5.31 | 5.4 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Linux | 5.31 | 5.4 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Linux for x64 | 5.31 | 5.4 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Solaris for x64 | 5.31 | 5.4 | 9.3 TS1M0 | 9.3 TS1M0 | ||