Problem Note 63733: An incorrect rank number might be used when you perform a covariance simulation with the Cholesky root of the correlation matrix as the input
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In SAS® High-Performance Risk, when you perform a covariance simulation with the Cholesky root of the correlation matrix as the input, an incorrect rank number might be used.
There are no warnings or errors. When this issue occurs, more random shocks are generated than are needed. Also, the results might not exactly match the results that are generated when you use the corresponding simulation that uses the Cholesky root of the covariance matrix as input. This mismatch occurs because the values of the random draws differ. However, the results should be statistically equivalent.
This issue occurs because the number of rows is used as the rank of the covariance matrix, which might not be accurate.
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 High-Performance Risk | Linux for x64 | 4.1 | 4.2 | 9.4 TS1M5 | 9.4 TS1M6 |
| 64-bit Enabled AIX | 4.1 | 4.2 | 9.4 TS1M5 | 9.4 TS1M6 | ||
| Microsoft® Windows® for x64 | 4.1 | 4.2 | 9.4 TS1M5 | 9.4 TS1M6 | ||
A fix for this issue for SAS Risk Dimensions Server Component 6.11 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/D2A.html#63733| Type: | Problem Note |
| Priority: | high |
| Topic: | Analytics ==> Financial Analysis |
| Date Modified: | 2019-03-29 13:38:26 |
| Date Created: | 2019-02-25 10:26:12 |