How To Fix TE256 - Cholesky-Zerlegung fehlgeschl., trotz Hinzuf. von &1 zu Diagonalelementen

TE256 - Overview

• Message type: E = Error

• Message class: TE - Market Risk Management

• Message number: 256

• Message text: Cholesky-Zerlegung fehlgeschl., trotz Hinzuf. von &1 zu Diagonalelementen

Was verursacht dieses Problem?

Cholesky decomposition of the original covariance matrix could not be
performed successfully. Subsequently, the system automatically altered
the covariance matrix to achieve positive definiteness, but not in the
material sense. This was achieved by adding a small number (epsilon) to
all diagonal elements of the matrix. However, even when epsilon = &V1&
is added, Cholesky decomposition cannot be performed successfully.

Systemantwort

Given that adding larger amounts to the diagonal elements of the
covariance matrix might have material effects, the system stopped
altering the covariance matrix and stopped further processing of the
risk calculation.

Wie behebe ich diesen Fehler?

You can use the function <LS>Matrix Checks for Risk Analytics</>
(transaction
<DS:TRAN.RMCOV>RMCOV</>, which calls program <AB>RFTBB_MATRIX_CHECK</>)
to analyze erroneous correlation and covariance matrices. Furthermore,
you can analyze the volatilities and correlations used by checking the
calculation basis available in transactions
<DS:TRAN.RMV0>RMV0</> (VaR) or <DS:TRAN.RMC0>RMC0</> (CFaR).

Vorgehensweise für Systemadministratoren

Das System gibt eine Fehlermeldung aus und erlaubt Ihnen nicht, mit dieser Transaktion fortzufahren, bis der Fehler behoben ist.

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