Problem Note 46561: Reported moments for the inverse Gaussian severity function are not correct
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In SAS® OpRisk VaR, the reported moments for the inverse Gaussian (IGAUSS) severity function are incorrect.
The model parameters are incorrectly switched: the value of PARAM_1 is assigned to PARAM_2 and vice versa.
The variance formula is incorrect. It should be like this:
variance = PARAM_1**2 / PARAM_2
Or as should be shown in the documentation:
theta**2 / alpha
The standard deviation formula is incorrect. It should be like this:
std = sqrt(PARAM_1**2 / PARAM_2);
There are no error messages.
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 OpRisk VaR | Microsoft® Windows® for x64 | 4.1_M3 | 5.1 | 9.3 TS1M0 | |
| Microsoft Windows 95/98 | 4.1_M3 | |||||
| Microsoft Windows 2000 Advanced Server | 4.1_M3 | |||||
| Microsoft Windows 2000 Datacenter Server | 4.1_M3 | |||||
| Microsoft Windows 2000 Server | 4.1_M3 | |||||
| Microsoft Windows 2000 Professional | 4.1_M3 | |||||
| Microsoft Windows NT Workstation | 4.1_M3 | |||||
| Microsoft Windows Server 2003 Datacenter Edition | 4.1_M3 | 5.1 | 9.3 TS1M0 | |||
| Microsoft Windows Server 2003 Enterprise Edition | 4.1_M3 | 5.1 | 9.3 TS1M0 | |||
| Microsoft Windows Server 2003 Standard Edition | 4.1_M3 | 5.1 | 9.3 TS1M0 | |||
| Microsoft Windows Server 2003 for x64 | 4.1_M3 | 5.1 | 9.3 TS1M0 | |||
| Microsoft Windows Server 2008 | 4.1_M3 | 5.1 | 9.3 TS1M0 | |||
| Microsoft Windows Server 2008 for x64 | 4.1_M3 | 5.1 | 9.3 TS1M0 | |||
| Microsoft Windows XP Professional | 4.1_M3 | 5.1 | 9.3 TS1M0 | |||
| Windows 7 Enterprise 32 bit | 4.1_M3 | 5.1 | 9.3 TS1M0 | |||
| Windows 7 Enterprise x64 | 4.1_M3 | 5.1 | 9.3 TS1M0 | |||
| Windows 7 Home Premium 32 bit | 4.1_M3 | 5.1 | 9.3 TS1M0 | |||
| Windows 7 Home Premium x64 | 4.1_M3 | 5.1 | 9.3 TS1M0 | |||
| Windows 7 Professional 32 bit | 4.1_M3 | 5.1 | 9.3 TS1M0 | |||
| Windows 7 Professional x64 | 4.1_M3 | 5.1 | 9.3 TS1M0 | |||
| Windows 7 Ultimate 32 bit | 4.1_M3 | 5.1 | 9.3 TS1M0 | |||
| Windows 7 Ultimate x64 | 4.1_M3 | 5.1 | 9.3 TS1M0 | |||
| Windows Millennium Edition (Me) | 4.1_M3 | |||||
| Windows Vista | 4.1_M3 | 5.1 | 9.3 TS1M0 | |||
| Windows Vista for x64 | 4.1_M3 | 5.1 | 9.3 TS1M0 | |||
| 64-bit Enabled AIX | 4.1_M3 | 5.1 | 9.3 TS1M0 | |||
| 64-bit Enabled HP-UX | 4.1_M3 | 5.1 | 9.3 TS1M0 | |||
| 64-bit Enabled Solaris | 4.1_M3 | 5.1 | 9.3 TS1M0 | |||
| HP-UX IPF | 4.1_M3 | 5.1 | 9.3 TS1M0 | |||
| Linux | 4.1_M3 | 5.1 | 9.3 TS1M0 | |||
| Linux for x64 | 4.1_M3 | 5.1 | 9.3 TS1M0 | |||
| Solaris for x64 | 4.1_M3 | 5.1 | 9.3 TS1M0 | |||
A fix for this issue for SAS OpRisk VaR 4.1_M3 is available at:
http://ftp.sas.com/techsup/download/hotfix/HF2/C75.html#46561A fix for this issue for SAS OpRisk VaR 4.21 is available at:
https://tshf.sas.com/techsup/download/hotfix/HF2/G66.html#46561| Type: | Problem Note |
| Priority: | high |
| Date Modified: | 2015-06-15 11:35:25 |
| Date Created: | 2012-05-11 16:01:10 |