How To Fix TE259 - Triples of correlations are checked for consistency; see long text

SAP Error Message - Details

• Message type: E = Error

• Message class: TE - Market Risk Management

• Message number: 259

• Message text: Triples of correlations are checked for consistency; see long text

What causes this issue?

The consistency checks are performed using the algorithm shown by
<ZK>Langford, Schertmann, and Owens (2001)</>. Each set of 3
correlations is checked against the following inequation given by the
authors:
P - S <= Rho_13 <= P + S
with
P = Rho_12 * Rho_23
S = SQRT( ( 1 - (Rho_12)^<ZG>2</> )*( 1 - (Rho_23)^2 ) )
Rho_12 denotes the correlation between the first and the second risk
factor. Rho_13 and Rho_23 are defined accordingly.

System Response

Inconsistent correlations might cause the Cholesky decomposition to
fail.

How to fix this error?

Please consider adjusting the correlations.

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.