Message type: E = Error
Message class: RY - Messages for RM Basis
Message number: 363
Message text: Second moment is negative for PH node &1 and RH node &2
The VAR is calculated from the four moments of the distribution
(expected value, variance, skewness and kurtosis) using Cornish/Fisher
approximation. In this case the second moment is observed to be a
negative value.
This results in the VaR being 0 for the respective nodes. The second
moment being negative indicates that the correlation matrix being used
is not positive definite.
The system issues an error message and will not allow you to continue with this transaction until the error is resolved.
Ensure that the correlation matrix is positive definite.
Error message extract from SAP system. Copyright SAP SE.
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RY365 Volatility type &1: No statistic type is assigned
What causes this issue? For the creation of random walks, a statistics type is ...
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