Problem Note 59165: When MLEVEL=GBM and a correlation matrix is supplied for covariance simulation, the correlated draws are not adjusted by the standard deviations
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In SAS® Risk Dimensions®, when you specify that risk factors use measurement level GBM (that is, MLEVEL=GBM), and you provide a correlation matrix for covariance simulation, the correlated draws are not adjusted by the standard deviations.
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
| Product Family | Product | System | Product Release | SAS Release | ||
| Reported | Fixed* | Reported | Fixed* | |||
| SAS System | SAS Risk Dimensions Enterprise Edition | Microsoft® Windows® for x64 | 6.6 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 |
| Microsoft Windows 8 Enterprise 32-bit | 6.6 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows 8 Enterprise x64 | 6.6 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows 8 Pro 32-bit | 6.6 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows 8 Pro x64 | 6.6 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows 8.1 Enterprise 32-bit | 6.6 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows 8.1 Enterprise x64 | 6.6 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows 8.1 Pro 32-bit | 6.6 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows 8.1 Pro x64 | 6.6 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows 10 | 6.6 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows Server 2008 | 6.6 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows Server 2008 R2 | 6.6 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows Server 2008 for x64 | 6.6 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows Server 2012 Datacenter | 6.6 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows Server 2012 R2 Datacenter | 6.6 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows Server 2012 R2 Std | 6.6 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows Server 2012 Std | 6.6 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Windows 7 Enterprise 32 bit | 6.6 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Windows 7 Enterprise x64 | 6.6 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Windows 7 Home Premium 32 bit | 6.6 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Windows 7 Home Premium x64 | 6.6 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Windows 7 Professional 32 bit | 6.6 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Windows 7 Professional x64 | 6.6 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Windows 7 Ultimate 32 bit | 6.6 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Windows 7 Ultimate x64 | 6.6 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| 64-bit Enabled AIX | 6.6 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| 64-bit Enabled Solaris | 6.6 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| HP-UX IPF | 6.6 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Linux for x64 | 6.6 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Solaris for x64 | 6.6 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
A fix for this issue for SAS High Performance Risk 3.6 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/Z08.html#59165A fix for this issue for SAS Risk Dimensions Server Component 6.6 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/Z06.html#59165A fix for this issue for SAS High-Performance Risk 3.6 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/Z08.html#59165
The correlated draws are not adjusted by the standard deviations when you perform covariance simulations with correlation data on risk factors with MLEVEL=GBM.
| Type: | Problem Note |
| Priority: | high |
| Topic: | Analytics ==> Financial Analysis |
| Date Modified: | 2016-10-21 08:52:53 |
| Date Created: | 2016-10-17 10:12:33 |