Problem Note 65065: Risk factors are not perturbed during model-based Monte Carlo simulation analysis
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When you specify a risk factor model by using the MODEL procedure and then run a simulation analysis in a RISK step which utilizes that risk factor model, the results might be incorrect. This problem can occur with an empirical model where the model stops varying the risk factor perturbations across the simulation replications. You can see these values in the SimState, MktState, and States tables. No message to the SAS log indicates that there is a problem.
The problem occurs due to an inconsistency between SAS/ETS® 14.1 Hot Fix V25003, which is a member of Hot Fix V24004, and SAS® Risk Dimensions® 6.5 or 6.6.
To circumvent this issue, upgrade to the current release of SAS Risk Dimensions.
Click the Hot Fix tab in this note to access the hot fix for this issue. The hot fix is for SAS/ETS 14.1.
Operating System and Release Information
| Product Family | Product | System | Product Release | SAS Release | ||
| Reported | Fixed* | Reported | Fixed* | |||
| SAS System | SAS/ETS | Microsoft® Windows® for x64 | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 |
| Microsoft Windows 8 Enterprise 32-bit | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows 8 Enterprise x64 | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows 8 Pro 32-bit | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows 8 Pro x64 | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows 8.1 Enterprise 32-bit | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows 8.1 Enterprise x64 | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows 8.1 Pro 32-bit | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows 8.1 Pro x64 | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows 10 | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows Server 2008 | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows Server 2008 R2 | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows Server 2008 for x64 | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows Server 2012 Datacenter | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows Server 2012 R2 Datacenter | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows Server 2012 R2 Std | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows Server 2012 Std | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Windows 7 Enterprise 32 bit | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Windows 7 Enterprise x64 | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Windows 7 Home Premium 32 bit | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Windows 7 Home Premium x64 | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Windows 7 Professional 32 bit | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Windows 7 Professional x64 | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Windows 7 Ultimate 32 bit | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Windows 7 Ultimate x64 | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| 64-bit Enabled AIX | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| 64-bit Enabled Solaris | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| HP-UX IPF | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Linux for x64 | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Solaris for x64 | 14.1 | 14.2 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| SAS System | SAS Risk Dimensions Enterprise Edition | Solaris for x64 | 6.5 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 |
| Linux for x64 | 6.5 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| HP-UX IPF | 6.5 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| 64-bit Enabled Solaris | 6.5 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| 64-bit Enabled AIX | 6.5 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Windows 7 Ultimate x64 | 6.5 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Windows 7 Ultimate 32 bit | 6.5 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Windows 7 Professional x64 | 6.5 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Windows 7 Professional 32 bit | 6.5 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Windows 7 Home Premium x64 | 6.5 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Windows 7 Home Premium 32 bit | 6.5 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Windows 7 Enterprise x64 | 6.5 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Windows 7 Enterprise 32 bit | 6.5 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows Server 2012 Std | 6.5 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows Server 2012 R2 Std | 6.5 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows Server 2012 R2 Datacenter | 6.5 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows Server 2012 Datacenter | 6.5 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows Server 2008 for x64 | 6.5 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows Server 2008 R2 | 6.5 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows Server 2008 | 6.5 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows 10 | 6.5 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows 8.1 Pro x64 | 6.5 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows 8.1 Pro 32-bit | 6.5 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows 8.1 Enterprise x64 | 6.5 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows 8.1 Enterprise 32-bit | 6.5 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows 8 Pro x64 | 6.5 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows 8 Pro 32-bit | 6.5 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows 8 Enterprise x64 | 6.5 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft Windows 8 Enterprise 32-bit | 6.5 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
| Microsoft® Windows® for x64 | 6.5 | 6.7 | 9.4 TS1M3 | 9.4 TS1M4 | ||
A fix for this issue for SAS/ETS 14.1 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/V24.html#65065
A model-based simulation analysis might not perturb some risk factors in a particular case.
| Type: | Problem Note |
| Priority: | high |
| Date Modified: | 2019-11-14 12:33:57 |
| Date Created: | 2019-11-06 09:22:36 |