Problem Note 51270: Fitting LogNormal-Gamma and other models for cells that have millions of loss observations and a threshold of zero requires many hours
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In SAS® OpRisk VaR, long fitting times might result if both of the following conditions are true:
- fitting models to cells that have millions of loss observations
- using a threshold of zero
A workaround is to use a threshold value that is greater than 0. Using a positive value filters out small loss values, and reduces fitting times. Performance improves. In order to keep the most information for the fit, it might be best to also provide a value for the Probability of Observability in the fitting-options dialog box. Ideally, that value represents the proportion of losses larger than the threshold, that are retained.
Example:
Fit the LogNormal-Gamma model to a cell that contains 2.5 million loss observations. The fitting time requires days. A workaround is to use a threshold value of $10,000.
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 | 5.1 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 |
| Microsoft Windows 8 Enterprise 32-bit | 5.1 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 | ||
| Microsoft Windows 8 Enterprise x64 | 5.1 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 | ||
| Microsoft Windows 8 Pro 32-bit | 5.1 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 | ||
| Microsoft Windows 8 Pro x64 | 5.1 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 | ||
| Microsoft Windows Server 2003 Datacenter Edition | 5.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2003 Enterprise Edition | 5.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2003 Standard Edition | 5.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2003 for x64 | 5.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2008 | 5.1 | 9.3 TS1M2 | ||||
| Microsoft Windows Server 2008 R2 | 5.1 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 | ||
| Microsoft Windows Server 2008 for x64 | 5.1 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 | ||
| Microsoft Windows Server 2012 Datacenter | 5.1 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 | ||
| Microsoft Windows Server 2012 Std | 5.1 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 | ||
| Microsoft Windows XP Professional | 5.1 | 9.3 TS1M2 | ||||
| Windows 7 Enterprise 32 bit | 5.1 | 9.3 TS1M2 | ||||
| Windows 7 Enterprise x64 | 5.1 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 | ||
| Windows 7 Home Premium 32 bit | 5.1 | 9.3 TS1M2 | ||||
| Windows 7 Home Premium x64 | 5.1 | 9.3 TS1M2 | ||||
| Windows 7 Professional 32 bit | 5.1 | 9.3 TS1M2 | ||||
| Windows 7 Professional x64 | 5.1 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 | ||
| Windows 7 Ultimate 32 bit | 5.1 | 9.3 TS1M2 | ||||
| Windows 7 Ultimate x64 | 5.1 | 9.3 TS1M2 | ||||
| Windows Vista | 5.1 | 9.3 TS1M2 | ||||
| Windows Vista for x64 | 5.1 | 9.3 TS1M2 | ||||
| 64-bit Enabled AIX | 5.1 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 | ||
| 64-bit Enabled HP-UX | 5.1 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 | ||
| 64-bit Enabled Solaris | 5.1 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 | ||
| HP-UX IPF | 5.1 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 | ||
| Linux | 5.1 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 | ||
| Linux for x64 | 5.1 | 6.1 | 9.3 TS1M2 | 9.4 TS1M0 | ||
| Solaris for x64 | 5.1 | 6.1 | 9.3 TS1M2 | 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#51270| Type: | Problem Note |
| Priority: | high |
| Topic: | Analytics ==> Financial Analysis |
| Date Modified: | 2013-10-11 06:50:15 |
| Date Created: | 2013-10-07 14:27:07 |