How To Fix TE253 - Cholesky decomposition cannot be processed due to negative square root

SAP Error Message - Details

• Message type: E = Error

• Message class: TE - Market Risk Management

• Message number: 253

• Message text: Cholesky decomposition cannot be processed due to negative square root

What causes this issue?

During calculation of Cholesky decomposition, the argument below the
square root becomes negative. In detail, the matrix is not positive
definite.

System Response

The negative square root has no solution in the expected range.
Therefore, the Cholesky decomposition cannot be calculated.

How to fix this error?

Check the market data, especially the data for risk factor &V1& and
above.
Check the market data for same validation date. If this is not
fulfilled, it could be the reason for inconsistencies in the values for
the correlation coefficient.

Procedure for System Administrators

The system issues an error message and will not allow you to continue with this transaction until the error is resolved.

Error message extract from SAP system. Copyright SAP SE.