In SAS^® High-Performance Risk, multiple-horizon analyses handle transition matrices properly only for simulations. 

Here are some examples.

Example 1

Say that a scenario analysis has 1-, 2-, or 3-day horizons and is associated with a project containing a simulation analysis that has 1-, 3-, and 7-day horizons. Instead of using the 1-day, 2-day, and 4-day transition matrices from the simulation analysis, 1-day transition matrices should be used for each horizon in the scenario analysis. 

Example 2

Another scenario analysis has 3-, 9-, and 24-month horizons and is associated with a project without a simulation. Instead of returning errors about not finding those horizons, 3-month, 6-month, and 15-month transition matrices should be used for these horizons.

Errors

Most cases of this issue return errors similar to the following.

Some cases do not return errors but might return incorrect values because of incorrect horizons.

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Operating System and Release Information

A fix for this issue for High Performance Risk 3.7 is available at:

A fix for this issue for SAS High Performance Risk 3.7 is available at:

A fix for this issue for SAS High-Performance Risk 3.7 is available at: