Problem Note 54890: LGD model-monitoring measures might be calculated incorrectly when a credit facility is linked to multiple accounts
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SAS® Credit Scoring for Banking enables you to analyze data for a credit facility that is linked to multiple accounts. However, LGD model-monitoring measures for a given scoring run might not be calculated correctly in certain scenarios.
Examples
- EAD for a credit facility when one of the accounts defaults
- EAD for a credit facility when two accounts default on same date
- EAD for a credit facility when two accounts default on different dates
- Default date in ABT variable calculation
- Default date for recovery calculation
There are no errors or warnings. There is no workaround.
Select 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 Credit Scoring for Banking Server | Microsoft Windows Server 2008 | 5.1 | 5.4 | 9.3 TS1M1 | 9.4 TS1M1 |
| Microsoft Windows Server 2008 R2 | 5.1 | 5.4 | 9.3 TS1M1 | 9.4 TS1M1 | ||
| Microsoft Windows Server 2008 for x64 | 5.1 | 5.4 | 9.3 TS1M1 | 9.4 TS1M1 | ||
| Windows 7 Enterprise 32 bit | 5.1 | 5.4 | 9.3 TS1M1 | 9.4 TS1M1 | ||
| Windows 7 Enterprise x64 | 5.1 | 5.4 | 9.3 TS1M1 | 9.4 TS1M1 | ||
| Windows 7 Home Premium 32 bit | 5.1 | 5.4 | 9.3 TS1M1 | 9.4 TS1M1 | ||
| Windows 7 Home Premium x64 | 5.1 | 5.4 | 9.3 TS1M1 | 9.4 TS1M1 | ||
| Microsoft® Windows® for x64 | 5.1 | 5.4 | 9.3 TS1M1 | 9.4 TS1M1 | ||
| Windows 7 Professional 32 bit | 5.1 | 5.4 | 9.3 TS1M1 | 9.4 TS1M1 | ||
| Windows 7 Professional x64 | 5.1 | 5.4 | 9.3 TS1M1 | 9.4 TS1M1 | ||
| Windows 7 Ultimate 32 bit | 5.1 | 5.4 | 9.3 TS1M1 | 9.4 TS1M1 | ||
| Windows 7 Ultimate x64 | 5.1 | 5.4 | 9.3 TS1M1 | 9.4 TS1M1 | ||
| 64-bit Enabled AIX | 5.1 | 5.4 | 9.3 TS1M1 | 9.4 TS1M1 | ||
| 64-bit Enabled Solaris | 5.1 | 5.4 | 9.3 TS1M1 | 9.4 TS1M1 | ||
| HP-UX IPF | 5.1 | 5.4 | 9.3 TS1M1 | 9.4 TS1M1 | ||
| Linux | 5.1 | 5.4 | 9.3 TS1M1 | 9.4 TS1M1 | ||
| Linux for x64 | 5.1 | 5.4 | 9.3 TS1M1 | 9.4 TS1M1 | ||
| Solaris for x64 | 5.1 | 5.4 | 9.3 TS1M1 | 9.4 TS1M1 | ||
A fix for this issue for SAS Credit Scoring for Banking 5.3_M1 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/S01.html#54890A fix for this issue for SAS Credit Scoring for Banking 5.2 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/M14.html#54890A fix for this issue for SAS Credit Scoring for Banking 5.1 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/I92.html#54890
In SAS® Credit Scoring for Banking, parameters such as EAD and default date might be incorrect when a credit facility is linked to multiple accounts. As a result, LGD model-monitoring measures for a given scoring run are not calculated correctly.
| Type: | Problem Note |
| Priority: | high |
| Date Modified: | 2014-12-23 08:49:27 |
| Date Created: | 2014-12-18 03:39:58 |