Problem Note 63879: Random draws are not scaled by the standard deviation when you use MLEVEL=GBM in covariance simulation
When you use MLEVEL=GBM in covariance simulation in SAS® Risk Dimensions®, random draws are not scaled by the standard deviation.
Click the Hot Fix tab in this note to access the hot fix for this issue.
Operating System and Release Information
| SAS System | SAS Risk Dimensions Enterprise Edition | Microsoft® Windows® for x64 | 6.11 | 6.12 | 9.4 TS1M5 | 9.4 TS1M6 |
| Microsoft Windows 8 Enterprise 32-bit | 6.11 | 6.12 | 9.4 TS1M5 | 9.4 TS1M6 |
| Microsoft Windows 8 Enterprise x64 | 6.11 | 6.12 | 9.4 TS1M5 | 9.4 TS1M6 |
| Microsoft Windows 8 Pro 32-bit | 6.11 | 6.12 | 9.4 TS1M5 | 9.4 TS1M6 |
| Microsoft Windows 8 Pro x64 | 6.11 | 6.12 | 9.4 TS1M5 | 9.4 TS1M6 |
| Microsoft Windows 8.1 Enterprise 32-bit | 6.11 | 6.12 | 9.4 TS1M5 | 9.4 TS1M6 |
| Microsoft Windows 8.1 Enterprise x64 | 6.11 | 6.12 | 9.4 TS1M5 | 9.4 TS1M6 |
| Microsoft Windows 8.1 Pro 32-bit | 6.11 | 6.12 | 9.4 TS1M5 | 9.4 TS1M6 |
| Microsoft Windows 8.1 Pro x64 | 6.11 | 6.12 | 9.4 TS1M5 | 9.4 TS1M6 |
| Microsoft Windows 10 | 6.11 | 6.12 | 9.4 TS1M5 | 9.4 TS1M6 |
| Microsoft Windows Server 2008 | 6.11 | | 9.4 TS1M5 | |
| Microsoft Windows Server 2008 R2 | 6.11 | | 9.4 TS1M5 | |
| Microsoft Windows Server 2008 for x64 | 6.11 | | 9.4 TS1M5 | |
| Microsoft Windows Server 2012 Datacenter | 6.11 | 6.12 | 9.4 TS1M5 | 9.4 TS1M6 |
| Microsoft Windows Server 2012 R2 Datacenter | 6.11 | 6.12 | 9.4 TS1M5 | 9.4 TS1M6 |
| Microsoft Windows Server 2012 R2 Std | 6.11 | 6.12 | 9.4 TS1M5 | 9.4 TS1M6 |
| Microsoft Windows Server 2012 Std | 6.11 | 6.12 | 9.4 TS1M5 | 9.4 TS1M6 |
| Microsoft Windows Server 2016 | 6.11 | 6.12 | 9.4 TS1M5 | 9.4 TS1M6 |
| Windows 7 Enterprise 32 bit | 6.11 | 6.12 | 9.4 TS1M5 | 9.4 TS1M6 |
| Windows 7 Enterprise x64 | 6.11 | 6.12 | 9.4 TS1M5 | 9.4 TS1M6 |
| Windows 7 Home Premium 32 bit | 6.11 | 6.12 | 9.4 TS1M5 | 9.4 TS1M6 |
| Windows 7 Home Premium x64 | 6.11 | 6.12 | 9.4 TS1M5 | 9.4 TS1M6 |
| Windows 7 Professional 32 bit | 6.11 | 6.12 | 9.4 TS1M5 | 9.4 TS1M6 |
| Windows 7 Professional x64 | 6.11 | 6.12 | 9.4 TS1M5 | 9.4 TS1M6 |
| Windows 7 Ultimate 32 bit | 6.11 | 6.12 | 9.4 TS1M5 | 9.4 TS1M6 |
| Windows 7 Ultimate x64 | 6.11 | 6.12 | 9.4 TS1M5 | 9.4 TS1M6 |
| 64-bit Enabled AIX | 6.11 | 6.12 | 9.4 TS1M5 | 9.4 TS1M6 |
| 64-bit Enabled Solaris | 6.11 | 6.12 | 9.4 TS1M5 | 9.4 TS1M6 |
| HP-UX IPF | 6.11 | 6.12 | 9.4 TS1M5 | 9.4 TS1M6 |
| Linux for x64 | 6.11 | 6.12 | 9.4 TS1M5 | 9.4 TS1M6 |
| Solaris for x64 | 6.11 | 6.12 | 9.4 TS1M5 | 9.4 TS1M6 |
*
For software releases that are not yet generally available, the Fixed
Release is the software release in which the problem is planned to be
fixed.
When you use MLEVEL=GBM in covariance simulation in SAS® Risk Dimensions®, random draws are not scaled by the standard deviation.
| Type: | Problem Note |
| Priority: | high |
| Topic: | Analytics ==> Financial Analysis
|
| Date Modified: | 2019-03-29 13:43:44 |
| Date Created: | 2019-03-19 14:36:01 |
