Problem Note 50261: Scale factor adjustments for Internal Business Lines (IBLs) are incorrect and the Annual Adjustment Factor (AAF) is not included
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In SAS® OpRisk VaR, the scale-factor adjustments of the Internal Business Lines (IBLs) are incorrect. The Annual Adjustment Factor (AAF) is not included.
There are no errors or warnings.
A workaround is to use the missing range table instead of the AAF. The AAF adjusts for partially observed data. For example, if 1/3 of a year is observed, the AAF could be set to 1/3 for that year. Alternatively, the missing range table could be used to show that 2/3 of the year has not been observed.
Click the Hot Fix tab in this note to access the hot fix for this issue.
Note: In future releases, the AAF will not be available, and the missing range table should be used instead.
Operating System and Release Information
| Product Family | Product | System | Product Release | SAS Release | ||
| Reported | Fixed* | Reported | Fixed* | |||
| SAS System | SAS OpRisk VaR | Microsoft Windows Server 2003 Enterprise Edition | 5.1 | 9.3 TS1M1 | ||
| Microsoft Windows Server 2003 Datacenter Edition | 5.1 | 9.3 TS1M1 | ||||
| Microsoft® Windows® for x64 | 5.1 | 6.1 | 9.3 TS1M1 | 9.4 TS1M0 | ||
| Microsoft Windows Server 2003 Standard Edition | 5.1 | 9.3 TS1M1 | ||||
| Microsoft Windows Server 2003 for x64 | 5.1 | 9.3 TS1M1 | ||||
| Microsoft Windows Server 2008 | 5.1 | 9.3 TS1M1 | ||||
| Microsoft Windows Server 2008 R2 for x64 | 5.1 | 6.1 | 9.3 TS1M1 | 9.4 TS1M0 | ||
| Microsoft Windows Server 2008 for x64 | 5.1 | 6.1 | 9.3 TS1M1 | 9.4 TS1M0 | ||
| Microsoft Windows XP Professional | 5.1 | 9.3 TS1M1 | ||||
| Windows 7 Enterprise 32 bit | 5.1 | 9.3 TS1M1 | ||||
| Windows 7 Enterprise x64 | 5.1 | 6.1 | 9.3 TS1M1 | 9.4 TS1M0 | ||
| Windows 7 Home Premium 32 bit | 5.1 | 9.3 TS1M1 | ||||
| Windows 7 Home Premium x64 | 5.1 | 9.3 TS1M1 | ||||
| Windows 7 Professional 32 bit | 5.1 | 9.3 TS1M1 | ||||
| Windows 7 Professional x64 | 5.1 | 6.1 | 9.3 TS1M1 | 9.4 TS1M0 | ||
| Windows 7 Ultimate 32 bit | 5.1 | 9.3 TS1M1 | ||||
| Windows 7 Ultimate x64 | 5.1 | 9.3 TS1M1 | ||||
| Windows Vista | 5.1 | 9.3 TS1M1 | ||||
| Windows Vista for x64 | 5.1 | 9.3 TS1M1 | ||||
| 64-bit Enabled AIX | 5.1 | 6.1 | 9.3 TS1M1 | 9.4 TS1M0 | ||
| 64-bit Enabled HP-UX | 5.1 | 6.1 | 9.3 TS1M1 | 9.4 TS1M0 | ||
| 64-bit Enabled Solaris | 5.1 | 6.1 | 9.3 TS1M1 | 9.4 TS1M0 | ||
| HP-UX IPF | 5.1 | 6.1 | 9.3 TS1M1 | 9.4 TS1M0 | ||
| Linux | 5.1 | 6.1 | 9.3 TS1M1 | 9.4 TS1M0 | ||
| Linux for x64 | 5.1 | 6.1 | 9.3 TS1M1 | 9.4 TS1M0 | ||
| Solaris for x64 | 5.1 | 6.1 | 9.3 TS1M1 | 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#50261| Type: | Problem Note |
| Priority: | high |
| Topic: | Analytics ==> Financial Analysis |
| Date Modified: | 2013-07-03 12:03:18 |
| Date Created: | 2013-06-25 10:53:17 |