In SAS^® Risk Dimensions, using categories and transformation methods can inhibit the perturbation of risk factors by analyses and transformation methods. The following conditions describe how you encounter this issue.

• A risk factor is set by a transformation method and is in a category. An analysis uses the category conditionally and does not perturb the risk factor. The transformation method should perturb the risk factor for market states in that category because the risk factor is in the conditional category. However, the transformation method fails to perturb the risk factor.

• A risk factor is set by a transformation method and is not in a category. An analysis uses the category conditionally and does not perturb the risk factor. The value of the risk factor should be fixed to the base case value for market states in that category because the risk factor is not in the conditional category. However, the transformation method incorrectly perturbs the risk factor.

• A risk factor is in a category. An analysis uses the category marginally and does not perturb the risk factor. The value of the risk factor is the base case value for that simulation case; the behavior is correct. However, subsequent categories in the analysis fail to perturb the risk factor, even if the factor is outside a subsequent marginal category.

There are no error or warning messages.

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Operating System and Release Information

A fix for this issue for Risk Dimensions Offering 5.31 is available at: