Problem Note 54379: In the collateral case under the Foundation Internal Ratings-Based (IRBF) approach, LGD_EFF is calculated incorrectly
In SAS® Credit Risk Management for Banking, in the collateral case under the Foundation Internal Ratings-Based (IRBF) approach, the effective loss-given default (LGD_EFF) is calculated incorrectly. There are no warnings or errors.
Click the Hot Fix tab in this note to access the hot fix for this issue.
Operating System and Release Information
| SAS System | SAS Credit Risk Management for Banking | Microsoft Windows 2000 Advanced Server | 4.5 | | 9.1 TS1M3 SP4 | |
| Microsoft Windows 2000 Datacenter Server | 4.5 | | 9.1 TS1M3 SP4 | |
| Microsoft Windows 2000 Server | 4.5 | | 9.1 TS1M3 SP4 | |
| Microsoft Windows 2000 Professional | 4.5 | | 9.1 TS1M3 SP4 | |
| Microsoft Windows NT Workstation | 4.5 | | 9.1 TS1M3 SP4 | |
| Microsoft Windows Server 2003 Datacenter Edition | 4.5 | | 9.1 TS1M3 SP4 | |
| Microsoft Windows Server 2003 Enterprise Edition | 4.5 | | 9.1 TS1M3 SP4 | |
| Microsoft Windows Server 2003 Standard Edition | 4.5 | | 9.1 TS1M3 SP4 | |
| Microsoft Windows XP Professional | 4.5 | | 9.1 TS1M3 SP4 | |
| Windows Vista | 4.5 | | 9.1 TS1M3 SP4 | |
| Windows Vista for x64 | 4.5 | | 9.1 TS1M3 SP4 | |
| 64-bit Enabled AIX | 4.5 | 5.2 | 9.1 TS1M3 SP4 | 9.4 TS1M0 |
| 64-bit Enabled HP-UX | 4.5 | 5.2 | 9.1 TS1M3 SP4 | 9.4 TS1M0 |
| 64-bit Enabled Solaris | 4.5 | 5.2 | 9.1 TS1M3 SP4 | 9.4 TS1M0 |
| HP-UX IPF | 4.5 | 5.2 | 9.1 TS1M3 SP4 | 9.4 TS1M0 |
| Linux | 4.5 | 5.2 | 9.1 TS1M3 SP4 | 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: | 2015-03-11 11:09:55 |
| Date Created: | 2014-10-20 14:35:24 |
