Problem Note 53243: Internal business line models do not apply to severity models
In SAS® OpRisk VaR, the fitted severity models are all at the cell level. Business line models and cell slice models apply only to frequency fitting. The User's Guide contains an inaccuracy when it states in Chapter 6 that the internal business line models are available for both frequency and severity models.
It is planned that the next edition will correct this inaccuracy.
Operating System and Release Information
| SAS System | SAS OpRisk VaR | Microsoft® Windows® for x64 | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M2 |
| Microsoft Windows 8 Enterprise 32-bit | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M2 |
| Microsoft Windows 8 Enterprise x64 | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M2 |
| Microsoft Windows 8 Pro 32-bit | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M2 |
| Microsoft Windows 8 Pro x64 | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M2 |
| Microsoft Windows 8.1 Enterprise 32-bit | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M2 |
| Microsoft Windows 8.1 Enterprise x64 | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M2 |
| Microsoft Windows 8.1 Pro | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M2 |
| Microsoft Windows 8.1 Pro 32-bit | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M2 |
| 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 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M2 |
| Microsoft Windows Server 2008 R2 | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M2 |
| Microsoft Windows Server 2008 for x64 | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M2 |
| Microsoft Windows Server 2012 Datacenter | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M2 |
| Microsoft Windows Server 2012 R2 Datacenter | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M2 |
| Microsoft Windows Server 2012 R2 Std | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M2 |
| Microsoft Windows Server 2012 Std | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M2 |
| Microsoft Windows XP Professional | 5.1 | | 9.3 TS1M2 | |
| Windows 7 Enterprise 32 bit | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M2 |
| Windows 7 Enterprise x64 | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M2 |
| Windows 7 Home Premium 32 bit | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M2 |
| Windows 7 Home Premium x64 | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M2 |
| Windows 7 Professional 32 bit | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M2 |
| Windows 7 Professional x64 | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M2 |
| Windows 7 Ultimate 32 bit | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M2 |
| Windows 7 Ultimate x64 | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 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_M2 | 9.3 TS1M2 | 9.4 TS1M2 |
| 64-bit Enabled HP-UX | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M2 |
| 64-bit Enabled Solaris | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M2 |
| HP-UX IPF | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M2 |
| Linux | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M2 |
| Linux for x64 | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M2 |
| Solaris for x64 | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M2 |
*
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: | 2014-07-02 12:16:06 |
| Date Created: | 2014-06-17 15:16:10 |
