Problem Note 49802: Numerical instability for parameters of Burr distribution causes overflow and simulation cannot be performed
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In SAS® OpRisk VaR, some estimated parameter values for the Burr distribution result in an overflow during simulation, and the simulation fails. This problem typically occurs when one of the two shape parameters get large, and simultaneously the other shape parameter gets very small, but their product is still relatively small, around 3 or 4.
There are no 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
| Product Family | Product | System | Product Release | SAS Release | ||
| Reported | Fixed* | Reported | Fixed* | |||
| SAS System | SAS OpRisk VaR | Microsoft® Windows® for x64 | 4.1_M3 | 6.1 | 9.2 TS2M3 | 9.4 TS1M0 |
| Microsoft Windows Server 2003 Datacenter Edition | 4.1_M3 | 6.1 | 9.2 TS2M3 | 9.4 TS1M0 | ||
| Microsoft Windows Server 2003 Enterprise Edition | 4.1_M3 | 6.1 | 9.2 TS2M3 | 9.4 TS1M0 | ||
| Microsoft Windows Server 2003 Standard Edition | 4.1_M3 | 6.1 | 9.2 TS2M3 | 9.4 TS1M0 | ||
| Microsoft Windows Server 2003 for x64 | 4.1_M3 | 6.1 | 9.2 TS2M3 | 9.4 TS1M0 | ||
| Microsoft Windows Server 2008 | 4.1_M3 | 6.1 | 9.2 TS2M3 | 9.4 TS1M0 | ||
| Microsoft Windows Server 2008 for x64 | 4.1_M3 | 6.1 | 9.2 TS2M3 | 9.4 TS1M0 | ||
| Microsoft Windows XP Professional | 4.1_M3 | 6.1 | 9.2 TS2M3 | 9.4 TS1M0 | ||
| Windows 7 Enterprise 32 bit | 4.1_M3 | 6.1 | 9.2 TS2M3 | 9.4 TS1M0 | ||
| Windows 7 Enterprise x64 | 4.1_M3 | 6.1 | 9.2 TS2M3 | 9.4 TS1M0 | ||
| Windows 7 Home Premium 32 bit | 4.1_M3 | 6.1 | 9.2 TS2M3 | 9.4 TS1M0 | ||
| Windows 7 Home Premium x64 | 4.1_M3 | 6.1 | 9.2 TS2M3 | 9.4 TS1M0 | ||
| Windows 7 Professional 32 bit | 4.1_M3 | 6.1 | 9.2 TS2M3 | 9.4 TS1M0 | ||
| Windows 7 Professional x64 | 4.1_M3 | 6.1 | 9.2 TS2M3 | 9.4 TS1M0 | ||
| Windows 7 Ultimate 32 bit | 4.1_M3 | 6.1 | 9.2 TS2M3 | 9.4 TS1M0 | ||
| Windows 7 Ultimate x64 | 4.1_M3 | 6.1 | 9.2 TS2M3 | 9.4 TS1M0 | ||
| Windows Vista | 4.1_M3 | 6.1 | 9.2 TS2M3 | 9.4 TS1M0 | ||
| Windows Vista for x64 | 4.1_M3 | 6.1 | 9.2 TS2M3 | 9.4 TS1M0 | ||
| 64-bit Enabled AIX | 4.1_M3 | 6.1 | 9.2 TS2M3 | 9.4 TS1M0 | ||
| 64-bit Enabled HP-UX | 4.1_M3 | 6.1 | 9.2 TS2M3 | 9.4 TS1M0 | ||
| 64-bit Enabled Solaris | 4.1_M3 | 6.1 | 9.2 TS2M3 | 9.4 TS1M0 | ||
| HP-UX IPF | 4.1_M3 | 6.1 | 9.2 TS2M3 | 9.4 TS1M0 | ||
| Linux | 4.1_M3 | 6.1 | 9.2 TS2M3 | 9.4 TS1M0 | ||
| Linux for x64 | 4.1_M3 | 6.1 | 9.2 TS2M3 | 9.4 TS1M0 | ||
| Solaris for x64 | 4.1_M3 | 6.1 | 9.2 TS2M3 | 9.4 TS1M0 | ||
A fix for this issue for SAS OpRisk VaR 4.1_M3 is available at:
http://ftp.sas.com/techsup/download/hotfix/HF2/C75.html#49802| Type: | Problem Note |
| Priority: | high |
| Topic: | Analytics ==> Financial Analysis |
| Date Modified: | 2013-05-16 14:12:18 |
| Date Created: | 2013-04-30 11:45:39 |