SUPPORT / SAMPLES & SAS NOTES
Problem Note 54379: In the collateral case under the Foundation Internal Ratings-Based (IRBF) approach, LGD_EFF is calculated incorrectly
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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.
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Operating System and Release Information
| Product Family | Product | System | Product Release | SAS Release | ||
| Reported | Fixed* | Reported | Fixed* | |||
| 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 | ||