Problem Note 56749: The empirical moments for the frequency models in the total cells might be inaccurate
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In SAS® OpRisk VaR, the empirical moments for the frequency models in the total cells might be incorrect. There are no errors or warnings. There are no workarounds.
The variance of the total cells is calculated as the sum of the variances of the interior cells, which is correct if the interior cells are independent. However, if the interior cells are not independent, then the covariances should be included in the calculations.
Click 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 OpRisk VaR | Microsoft® Windows® for x64 | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M3 |
| Microsoft Windows 8 Enterprise 32-bit | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M3 | ||
| Microsoft Windows 8 Enterprise x64 | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M3 | ||
| Microsoft Windows 8 Pro 32-bit | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M3 | ||
| Microsoft Windows 8 Pro x64 | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M3 | ||
| Microsoft Windows 8.1 Enterprise 32-bit | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M3 | ||
| Microsoft Windows 8.1 Enterprise x64 | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M3 | ||
| Microsoft Windows 8.1 Pro | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M3 | ||
| Microsoft Windows 8.1 Pro 32-bit | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M3 | ||
| 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 TS1M3 | ||
| Microsoft Windows Server 2008 R2 | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M3 | ||
| Microsoft Windows Server 2008 for x64 | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M3 | ||
| Microsoft Windows Server 2012 Datacenter | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M3 | ||
| Microsoft Windows Server 2012 R2 Datacenter | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M3 | ||
| Microsoft Windows Server 2012 R2 Std | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M3 | ||
| Microsoft Windows Server 2012 Std | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M3 | ||
| Microsoft Windows XP Professional | 5.1 | 9.3 TS1M2 | ||||
| Windows 7 Enterprise 32 bit | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M3 | ||
| Windows 7 Enterprise x64 | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M3 | ||
| Windows 7 Home Premium 32 bit | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M3 | ||
| Windows 7 Home Premium x64 | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M3 | ||
| Windows 7 Professional 32 bit | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M3 | ||
| Windows 7 Professional x64 | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M3 | ||
| Windows 7 Ultimate 32 bit | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M3 | ||
| Windows 7 Ultimate x64 | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M3 | ||
| 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 TS1M3 | ||
| 64-bit Enabled HP-UX | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M3 | ||
| 64-bit Enabled Solaris | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M3 | ||
| HP-UX IPF | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M3 | ||
| Linux | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M3 | ||
| Linux for x64 | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M3 | ||
| Solaris for x64 | 5.1 | 6.1_M2 | 9.3 TS1M2 | 9.4 TS1M3 | ||
A fix for this issue for SAS OpRisk VaR 5.1 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/J67.html#56749| Type: | Problem Note |
| Priority: | high |
| Topic: | Analytics ==> Financial Analysis |
| Date Modified: | 2015-12-15 15:07:16 |
| Date Created: | 2015-10-08 09:19:54 |