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Problem Note 52419: Fitting a body-tail model fails when you use KRIs and generates the warning "The data set WORK._FGP_COUNTS may be incomplete"

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In SAS® OpRisk VaR 4.21, fitting body-tail models that include KRIs can result in a fitting failure. When such a failure occurs, error and warning messages similar to the following are generated:

MPRINT(ORVA_FREQ_FIT.ORVA_FREQ_COMPUTE_NET_EXPOSURE.ORVA_FREQ_GETPOBS): data_fgp_counts;
MPRINT(ORVA_FREQ_FIT.ORVA_FREQ_COMPUTE_NET_EXPOSURE.ORVA_FREQ_GETPOBS): set_ffit_counts;
NOTE 137-205: Line generated by the invoked macro "ORVA_FREQ_GETPOBS".
572                     param_1 = 0;          end;       end;     run;     
data_fgp_counts;       set &countdata.;       scaled_threshold = threshold /
exp(&severity_KRI_model.);    run;
               _
               22
ERROR 22-322: Syntax error, expecting one of the following: a name, a quoted
string, a numeric constant, a datetime constant, a missing value, INPUT, PUT.
MPRINT(ORVA_FREQ_FIT.ORVA_FREQ_COMPUTE_NET_EXPOSURE.ORVA_FREQ_GETPOBS):
scaled_threshold = threshold / exp( . + );
MPRINT(ORVA_FREQ_FIT.ORVA_FREQ_COMPUTE_NET_EXPOSURE.ORVA_FREQ_GETPOBS):   run;
NOTE: The SAS System stopped processing this step because of errors.
NOTE: SAS set option OBS=0 and will continue to check statements. This might cause 
NOTE: No observations in data set.
WARNING: The data set WORK._FGP_COUNTS may be incomplete.  When this step was
stopped there were 0 observations and 42 variables.

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Operating System and Release Information

Product FamilyProductSystemProduct ReleaseSAS Release
ReportedFixed*ReportedFixed*
SAS SystemSAS OpRisk VaRMicrosoft® Windows® for x644.216.19.3 TS1M19.4 TS1M0
Microsoft Windows Server 2003 Datacenter Edition4.219.3 TS1M1
Microsoft Windows Server 2003 Enterprise Edition4.219.3 TS1M1
Microsoft Windows Server 2003 Standard Edition4.219.3 TS1M1
Microsoft Windows Server 2003 for x644.219.3 TS1M1
Microsoft Windows Server 20084.219.3 TS1M1
Microsoft Windows Server 2008 R24.216.19.3 TS1M19.4 TS1M0
Microsoft Windows Server 2008 for x644.216.19.3 TS1M19.4 TS1M0
Microsoft Windows XP Professional4.219.3 TS1M1
Windows 7 Enterprise 32 bit4.219.3 TS1M1
Windows 7 Enterprise x644.216.19.3 TS1M19.4 TS1M0
Windows 7 Home Premium 32 bit4.219.3 TS1M1
Windows 7 Home Premium x644.219.3 TS1M1
Windows 7 Professional 32 bit4.219.3 TS1M1
Windows 7 Professional x644.216.19.3 TS1M19.4 TS1M0
Windows 7 Ultimate 32 bit4.219.3 TS1M1
Windows 7 Ultimate x644.219.3 TS1M1
Windows Vista4.219.3 TS1M1
Windows Vista for x644.219.3 TS1M1
64-bit Enabled AIX4.216.19.3 TS1M19.4 TS1M0
64-bit Enabled HP-UX4.216.19.3 TS1M19.4 TS1M0
64-bit Enabled Solaris4.216.19.3 TS1M19.4 TS1M0
HP-UX IPF4.216.19.3 TS1M19.4 TS1M0
Linux4.216.19.3 TS1M19.4 TS1M0
Linux for x644.216.19.3 TS1M19.4 TS1M0
Solaris for x644.216.19.3 TS1M19.4 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.