Problem Note 50356: Incorrect VaR sensitivity calculations when using firm and internal business line KRIs
In SAS® OpRisk VaR, if both firm KRIs and internal business line KRIs are used, the severity scale that is used in parameter sensitivity and extra loss calculations are incorrect. This causes incorrect results of VaR sensitivity calculations.
Operating System and Release Information
| SAS System | SAS OpRisk VaR | Microsoft® Windows® for x64 | 5.1 | 6.1 | 9.3 TS1M1 | 9.4 TS1M0 |
| Microsoft Windows Server 2003 Datacenter Edition | 5.1 | | 9.3 TS1M1 | |
| Microsoft Windows Server 2003 Enterprise Edition | 5.1 | | 9.3 TS1M1 | |
| 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 |
*
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
|
| Date Modified: | 2020-08-07 08:05:48 |
| Date Created: | 2013-07-10 12:10:04 |
