How To Fix TE256 - Échec décomposit. Cholesky, malgré ajout de &1 aux éléments de diagnostic

TE256 - Overview

• Message type: E = Error

• Message class: TE - Market Risk Management

• Message number: 256

• Message text: Échec décomposit. Cholesky, malgré ajout de &1 aux éléments de diagnostic

Quelle est la cause de ce problème?

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.

Réponse du système

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.

Comment corriger cette erreur?

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).

Procédure pour les administrateurs système

Le système émet un message d'erreur et ne vous permettra pas de poursuivre cette transaction tant que l'erreur n'est pas résolue.

Extrait du message d'erreur du système SAP. Copyright SAP SE.