Problem Note 45184: Proxy bucket scenario simulation results might be incorrect when one or more bucket weights are zero or are essentially zero (for example, 1E-10)
In SAS® OpRisk VaR, the VaR simulation results might be incorrect if you use a proxy bucket scenario when one or more of the bucket weights are zero or are very small. For example, a zero might be specified as bucket weight. But the final weight that is calculated might be very close to, but not quite zero (for example, 1E-10). Then during simulation, there might be a loss event for that bucket. There are no error messages.
The workaround is to not use proxy bucket scenarios that have weights that are zero or are very small.
Operating System and Release Information
| SAS System | SAS OpRisk VaR | Solaris for x64 | 4.1 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Linux for x64 | 4.1 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Linux | 4.1 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows XP Professional | 4.1 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2008 for x64 | 4.1 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2008 | 4.1 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 for x64 | 4.1 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Standard Edition | 4.1 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Enterprise Edition | 4.1 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| HP-UX IPF | 4.1 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| 64-bit Enabled Solaris | 4.1 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| 64-bit Enabled HP-UX | 4.1 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| 64-bit Enabled AIX | 4.1 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows Vista for x64 | 4.1 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows Vista | 4.1 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Ultimate x64 | 4.1 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Ultimate 32 bit | 4.1 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Professional x64 | 4.1 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Professional 32 bit | 4.1 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Home Premium x64 | 4.1 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Home Premium 32 bit | 4.1 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Enterprise x64 | 4.1 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Windows 7 Enterprise 32 bit | 4.1 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft Windows Server 2003 Datacenter Edition | 4.1 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
| Microsoft® Windows® for x64 | 4.1 | 5.1 | 9.2 TS2M3 | 9.3 TS1M0 |
*
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.
| Type: | Problem Note |
| Priority: | high |
| Date Modified: | 2012-01-06 12:05:07 |
| Date Created: | 2011-12-19 16:50:53 |
