Problem Note 48012: Marginal VaR and conditional VaR are zero (0) when performing a cash flow simulation analysis
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When performing a cash flow simulation analysis in SAS® Risk Dimensions®, the intermediate results for marginal VaR and conditional VaR are not correctly processed. This causes the output values for marginal VaR and conditional VaR to be zero when they might not actually be zero.
There are no errors or warnings.
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 | Solaris for x64 | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Linux for x64 | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Linux | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Windows 7 Home Premium x64 | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Windows 7 Home Premium 32 bit | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Windows 7 Enterprise x64 | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Windows 7 Enterprise 32 bit | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Microsoft Windows XP Professional | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Microsoft Windows Server 2008 for x64 | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Microsoft Windows Server 2008 | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Microsoft Windows Server 2003 for x64 | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Microsoft Windows Server 2003 Enterprise Edition | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Microsoft Windows Server 2003 Datacenter Edition | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| HP-UX IPF | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| 64-bit Enabled Solaris | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| 64-bit Enabled HP-UX | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| 64-bit Enabled AIX | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Windows Vista for x64 | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Windows Vista | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Windows 7 Ultimate x64 | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Windows 7 Ultimate 32 bit | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Windows 7 Professional x64 | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Windows 7 Professional 32 bit | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Microsoft Windows Server 2003 Standard Edition | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 | ||
| Microsoft® Windows® for x64 | 5.31 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 | ||
A fix for this issue for Risk Dimensions Offering 5.31 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/I51.html#48012A fix for this issue for Risk Dimensions Offering 5.4 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/I52.html#48012| Type: | Problem Note |
| Priority: | high |
| Topic: | Analytics ==> Financial Analysis Analytics ==> Simulation |
| Date Modified: | 2012-11-09 09:05:17 |
| Date Created: | 2012-09-25 14:58:05 |