SAS Institute Alert Note SN-008590

From: SAS Technical Support (tsdlist@unx.sas.com)
Date: Thu Oct 17 2002 - 13:42:48 EDT

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    SN-008590 ***Alert Note***

    Incorrect risk factor values possible from scenario when transformation
    method has multiple output variables

    Product: Risk Dimensions
    Component: RISK DIMENSIONS
    Priority: ALERT

      Incorrect risk factor values may result from a Scenario Analysis or a
      Scenario Simulation if all of the following are true:

      1. A transformation method has more than one output variable.
      2. The scenario specifies the value of one or more input variables for
      such a transformation method.
      3. The scenario specifies the value of two or more output variables of
      such a transformation method.
      4. The scenario does not specify the value of at least one output
      variable of such a transformation method.

      If these conditions simultaneously hold, then one or more of the
      scenario-specified output variables in (3) above will be incorrect.

      To circumvent the problem, create a separate transformation method for
      each output variable.

    Keywords:
      risk dimensions management sas compile pricing incorrout incorrstat
      transformation method input output scenario simulation analysis risk
      factor market states
      incorrect risk factor values possible from scenario when transformation
      method has multiple output variables
      008590 8590

    SAS Note Revised On: Thu, 10 Oct 2002

    System Version Reported Version Fixed

    AIX 64 bit 3.2 4.0
    AIX 64 bit 3.3 4.0
    AIX/6000 3.2
    AIX/6000 3.3
    Compaq Tru64 UNIX 3.2 4.0
    Compaq Tru64 UNIX 3.3 4.0
    HP-UX Operating Systems 3.2
    HP-UX Operating Systems 3.3
    HP-UX 64 bit 3.2 4.0
    HP-UX 64 bit 3.3 4.0
    Solaris 3.3
    Solaris 64 bit 3.2 4.0
    Solaris 64 bit 3.3 4.0
    Windows NT 3.2 4.0
    Windows NT 3.3 4.0
    Windows 2000 Datacenter Server 3.3 4.0
    Windows 2000 Professional 3.3 4.0
    Windows 2000 Server and Advanced Server 3.3 4.0
    Windows 95 3.3
    Windows 98 3.3
    Windows ME 3.3

    No Fixes Available

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