Problem Note 57567: SAS® OpRisk VaR AIC and SBC (BIC) values are different in SAS® 9.4M2 than in SAS® 9.4M1 and earlier releases
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In SAS OpRisk VaR, the AIC and SBC (BIC) calculations were changed in the SAS 9.4M2 release. Here is an example for SBC:
−2log(L)+k*log(n)
In the above, k represents the number of parameters in the model. In SAS 9.4M1 and earlier releases, the adjustment was done using the number of equality constraints.
−2log(L)+(k-#ofEqualityConstraints)*log(n)
Starting in SAS 9.4M2, the calculations were changed to include the number of ALL equality and inequality binding constraints. The calculation was as follows:
−2log(L)+(k-#ofAllBindingConstraints)*log(n)
The above can result in different values from the previous calculations.
To obtain a fix for this issue, contact SAS Technical Support.
After applying the fix, the calculations return to those used in SAS 9.4M1 and earlier releases.
−2log(L)+(k-#ofEqualityConstraints)*log(n)
Operating System and Release Information
| Product Family | Product | System | Product Release | SAS Release | ||
| Reported | Fixed* | Reported | Fixed* | |||
| SAS System | SAS OpRisk VaR | 64-bit Enabled AIX | 6.1_M1 | 9.4 TS1M2 | ||
| 64-bit Enabled Solaris | 6.1_M1 | 9.4 TS1M2 | ||||
| HP-UX IPF | 6.1_M1 | 9.4 TS1M2 | ||||
| Linux for x64 | 6.1_M1 | 9.4 TS1M2 | ||||
| Solaris for x64 | 6.1_M1 | 9.4 TS1M2 | ||||
| Type: | Problem Note |
| Priority: | high |
| Topic: | Analytics ==> Financial Analysis |
| Date Modified: | 2020-05-21 07:20:37 |
| Date Created: | 2016-02-02 13:54:57 |