How To Fix TE256 - Error en la partición Cholesky, aunque se ha añadido &1 p.elem.diagonales

TE256 - Overview

• Message type: E = Error

• Message class: TE - Market Risk Management

• Message number: 256

• Message text: Error en la partición Cholesky, aunque se ha añadido &1 p.elem.diagonales

¿Qué causa este problema?

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.

Respuesta del sistema

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.

¿Cómo arreglar este error?

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).

Procedimiento para Administradoras de Sistemas

El sistema emite un mensaje de error y no le permitirá continuar con esta transacción hasta que se resuelva el error.

Extracto de mensaje de error del sistema SAP. Copyright SAP SE.