Problem Note 48899: The FCORR matrix in SAS® OpRisk VaR contains negative values
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For some loss data in SAS OpRisk VaR, the FCORR matrix might contain negative values. In general, regulators do not allow negative correlations, and they request that the negative values be set to zero.
There are no warnings or errors.
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 OpRisk VaR | Microsoft® Windows® for x64 | 4.21 | 6.1 | 9.3 TS1M0 | 9.4 TS1M0 |
| Microsoft Windows Server 2003 Datacenter Edition | 4.21 | 6.1 | 9.3 TS1M0 | 9.4 TS1M0 | ||
| Microsoft Windows Server 2003 Enterprise Edition | 4.21 | 6.1 | 9.3 TS1M0 | 9.4 TS1M0 | ||
| Microsoft Windows Server 2003 Standard Edition | 4.21 | 6.1 | 9.3 TS1M0 | 9.4 TS1M0 | ||
| Microsoft Windows Server 2003 for x64 | 4.21 | 6.1 | 9.3 TS1M0 | 9.4 TS1M0 | ||
| Microsoft Windows Server 2008 | 4.21 | 6.1 | 9.3 TS1M0 | 9.4 TS1M0 | ||
| Microsoft Windows Server 2008 for x64 | 4.21 | 6.1 | 9.3 TS1M0 | 9.4 TS1M0 | ||
| Microsoft Windows XP Professional | 4.21 | 6.1 | 9.3 TS1M0 | 9.4 TS1M0 | ||
| Windows 7 Enterprise 32 bit | 4.21 | 6.1 | 9.3 TS1M0 | 9.4 TS1M0 | ||
| Windows 7 Enterprise x64 | 4.21 | 6.1 | 9.3 TS1M0 | 9.4 TS1M0 | ||
| Windows 7 Home Premium 32 bit | 4.21 | 6.1 | 9.3 TS1M0 | 9.4 TS1M0 | ||
| Windows 7 Home Premium x64 | 4.21 | 6.1 | 9.3 TS1M0 | 9.4 TS1M0 | ||
| Windows 7 Professional 32 bit | 4.21 | 6.1 | 9.3 TS1M0 | 9.4 TS1M0 | ||
| Windows 7 Professional x64 | 4.21 | 6.1 | 9.3 TS1M0 | 9.4 TS1M0 | ||
| Windows 7 Ultimate 32 bit | 4.21 | 6.1 | 9.3 TS1M0 | 9.4 TS1M0 | ||
| Windows 7 Ultimate x64 | 4.21 | 6.1 | 9.3 TS1M0 | 9.4 TS1M0 | ||
| Windows Vista | 4.21 | 6.1 | 9.3 TS1M0 | 9.4 TS1M0 | ||
| Windows Vista for x64 | 4.21 | 6.1 | 9.3 TS1M0 | 9.4 TS1M0 | ||
| 64-bit Enabled AIX | 4.21 | 6.1 | 9.3 TS1M0 | 9.4 TS1M0 | ||
| 64-bit Enabled HP-UX | 4.21 | 6.1 | 9.3 TS1M0 | 9.4 TS1M0 | ||
| 64-bit Enabled Solaris | 4.21 | 6.1 | 9.3 TS1M0 | 9.4 TS1M0 | ||
| HP-UX IPF | 4.21 | 6.1 | 9.3 TS1M0 | 9.4 TS1M0 | ||
| Linux | 4.21 | 6.1 | 9.3 TS1M0 | 9.4 TS1M0 | ||
| Linux for x64 | 4.21 | 6.1 | 9.3 TS1M0 | 9.4 TS1M0 | ||
| Solaris for x64 | 4.21 | 6.1 | 9.3 TS1M0 | 9.4 TS1M0 | ||
A fix for this issue for SAS OpRisk VaR 5.1 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/J67.html#48899A fix for this issue for SAS OpRisk VaR 4.21 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/G66.html#48899| Type: | Problem Note |
| Priority: | high |
| Date Modified: | 2013-01-22 09:50:33 |
| Date Created: | 2013-01-10 15:09:40 |