Problem Note 51333: Fitting body-tail severity models using the Hill-Estimator fails with the error "There are not enough observations above the tail breakpoints"
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In SAS® OpRisk VaR, when you fit body-tail severity models by using the Hill-Estimator, the tail boundary value can be incorrectly calculated. This causes the fitting to fail. This problem only happens when the model includes KRIs. The following error occurs:
ERROR: There are not enough observations above the tail breakpoints.
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 Server 2003 Standard Edition | 5.1 | 9.3 TS1M1 | ||
| 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 for x64 | 5.1 | 9.3 TS1M1 | ||||
| Microsoft Windows Server 2008 | 5.1 | 9.3 TS1M1 | ||||
| Microsoft Windows Server 2008 R2 | 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#51333| Type: | Problem Note |
| Priority: | high |
| Topic: | Analytics ==> Financial Analysis |
| Date Modified: | 2013-10-14 08:33:51 |
| Date Created: | 2013-10-11 14:40:55 |