Problem Note 48033: Potentially incorrect results when using transformation methods and Delta-Normal analysis
In SAS® Risk Dimensions, an interaction between the covariance matrix for a Delta-Normal analysis and a transformation method might result in incorrectly perturbed risk factor values in some market states. The following conditions describe how this problem might occur.
- The value of an instrument depends on risk factor 1 (rf1).
- The value of rf1 is set in a transformation method and is dependent on risk factor 2 (rf2).
- The risk factors rf1 and rf2 are not in the covariance matrix.
Under these conditions, the value of rf1 might be incorrect.
There are no warnings or errors. There are no workarounds.
Click the Hot Fix tab in this note to access the hot fix for this issue.
Operating System and Release Information
| SAS System | SAS Risk Dimensions Enterprise Edition | Microsoft® Windows® for x64 | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Datacenter Edition | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Enterprise Edition | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Standard Edition | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 for x64 | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Microsoft Windows Server 2008 | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Microsoft Windows Server 2008 for x64 | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Microsoft Windows XP Professional | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Windows 7 Enterprise 32 bit | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Windows 7 Enterprise x64 | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Windows 7 Home Premium 32 bit | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Windows 7 Home Premium x64 | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Windows 7 Professional 32 bit | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Windows 7 Professional x64 | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Windows 7 Ultimate 32 bit | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Windows 7 Ultimate x64 | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Windows Vista | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Windows Vista for x64 | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| 64-bit Enabled AIX | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| 64-bit Enabled HP-UX | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| 64-bit Enabled Solaris | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| HP-UX IPF | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Linux | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Linux for x64 | 5.4 | 5.5 | 9.3 TS1M0 | 9.3 TS1M0 |
| Solaris for x64 | 5.4 | 5.5 | 9.3 TS1M0 | 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 |
| Topic: | Analytics ==> Financial Analysis
Analytics ==> Simulation
|
| Date Modified: | 2012-11-09 09:09:09 |
| Date Created: | 2012-09-28 09:12:55 |
