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"
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.
Click the Hot Fix tab in this note to access the hot fix for this issue.
Operating System and Release Information
SAS System | SAS OpRisk VaR | Microsoft® Windows® for x64 | 4.21 | 6.1 | 9.3 TS1M1 | 9.4 TS1M0 |
Microsoft Windows Server 2003 Datacenter Edition | 4.21 | | 9.3 TS1M1 | |
Microsoft Windows Server 2003 Enterprise Edition | 4.21 | | 9.3 TS1M1 | |
Microsoft Windows Server 2003 Standard Edition | 4.21 | | 9.3 TS1M1 | |
Microsoft Windows Server 2003 for x64 | 4.21 | | 9.3 TS1M1 | |
Microsoft Windows Server 2008 | 4.21 | | 9.3 TS1M1 | |
Microsoft Windows Server 2008 R2 | 4.21 | 6.1 | 9.3 TS1M1 | 9.4 TS1M0 |
Microsoft Windows Server 2008 for x64 | 4.21 | 6.1 | 9.3 TS1M1 | 9.4 TS1M0 |
Microsoft Windows XP Professional | 4.21 | | 9.3 TS1M1 | |
Windows 7 Enterprise 32 bit | 4.21 | | 9.3 TS1M1 | |
Windows 7 Enterprise x64 | 4.21 | 6.1 | 9.3 TS1M1 | 9.4 TS1M0 |
Windows 7 Home Premium 32 bit | 4.21 | | 9.3 TS1M1 | |
Windows 7 Home Premium x64 | 4.21 | | 9.3 TS1M1 | |
Windows 7 Professional 32 bit | 4.21 | | 9.3 TS1M1 | |
Windows 7 Professional x64 | 4.21 | 6.1 | 9.3 TS1M1 | 9.4 TS1M0 |
Windows 7 Ultimate 32 bit | 4.21 | | 9.3 TS1M1 | |
Windows 7 Ultimate x64 | 4.21 | | 9.3 TS1M1 | |
Windows Vista | 4.21 | | 9.3 TS1M1 | |
Windows Vista for x64 | 4.21 | | 9.3 TS1M1 | |
64-bit Enabled AIX | 4.21 | 6.1 | 9.3 TS1M1 | 9.4 TS1M0 |
64-bit Enabled HP-UX | 4.21 | 6.1 | 9.3 TS1M1 | 9.4 TS1M0 |
64-bit Enabled Solaris | 4.21 | 6.1 | 9.3 TS1M1 | 9.4 TS1M0 |
HP-UX IPF | 4.21 | 6.1 | 9.3 TS1M1 | 9.4 TS1M0 |
Linux | 4.21 | 6.1 | 9.3 TS1M1 | 9.4 TS1M0 |
Linux for x64 | 4.21 | 6.1 | 9.3 TS1M1 | 9.4 TS1M0 |
Solaris for x64 | 4.21 | 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: | 2014-02-25 05:18:27 |
Date Created: | 2014-02-24 10:02:45 |