SAS High-Performance Risk 3.6 contains changes to support SAS Risk Management for Banking 3.4 in the server component (Z06002) of the container Hot Fix Z08002.

The container hot fix can be accessed at SAS High-Performance Risk 3.6 Hot Fix Downloads.

This SAS Note contains a list of the changes to the server component. Here are the enhancements to the HPRISK procedure:

• It supports counterparty (CPTY) or mitigation (MIT) variables of length 32.
• If TASK=STRESS and if the pricing INST_INIT block accesses counterparty (CPTY) variables, there is no segmentation violation in the CMP function.
• In simulations, you can define CPTYTYPE where MCTYPE = AVERAGE with instruments where MCTYPE != AVERAGE.
• Simulated values for output variables in any horizon can be displayed in the user interface.
• For mitigation, you can create a "Load Values" cube that can access the GET_RANKED_VALUES call routine.
• The mitigation basecase for non-stress cubes is run on all threads.
• The grid can share economic data if cubes are created with fewer nodes than in the Hadoop Distributed File System (HDFS) cluster.
• If the software detects a different type of parse stage that is not supported, an error is written to the system log.
• The ALM Liquidity Stress Analysis can run on a grid when the CashFlow output data set is specified. Previously, warnings and errors like the following occurred:
WARNING: The request for the ALLSCORE data set is not valid for the STRESS task. The data set will not contain any data. WARNING: Data set _OUTPUT_.ALLSCORE was not replaced because new file is incomplete. ERROR: Reading from the HPRisk Engine failed. ERROR: The application failed to send scenarios to the HPRisk Engine.

Here are additional changes and enhancements to the server component:

• Removed numerical differences in the SIMSTAT output data table
• Removed the ability for the COMPILE procedure's RLAG function to access uninitialized data
• Reduced the memory used in the STRESS task when performing sums during queries
• Added a warning to the log when removing an undeclared counterparty (CPTY) or mitigation (MIT) variable
• Enhanced the TRANSMAT_BALANCE routine to be able to handle cubes that were not created with all nodes

Click the Hot Fix tab in this note to access the hot fix for this issue.

Operating System and Release Information

A fix for this issue for SAS High Performance Risk 3.6 is available at:

A fix for this issue for SAS Risk Dimensions Server Component 6.6 is available at:

A fix for this issue for SAS High-Performance Risk 3.6 is available at: