risk analyzers
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Risk Analyzers
Posted on November 22, 2012by gopakumar2010
In this article, I want to give a very brief outline on the Risk Analyzers and show the
steps for configuring the credit risk and market risk analyzers and a very short one on
the portfolio analyzer. I need to stress that I left SAP consulting uite sometime back to
pursue other things and hence, this article will have its shortcomings. As usual, I hope
that at least one person find this article helpful.
!hen I was trying to understand the analyzers, it was very difficult for me to get a hold
of it, until I read my "SAP #reasury $ible%. #he concept that threw open the whole
analyzers to me was&
'. analyzers are (ust (ust analyzers to analyze things ) for eg& financial instruments )since this is a separate module which can be used to analyze instruments not only
created from within SAP, but even outside instruments& there should be a commonality
in similar type of instruments to enable analysis, that is to say the "characteristics% of
similar instruments should be uniform*
+. #he database of the analyzers are separate. #hat is, the instruments created even
within SAP need to be transferred to the analyzers database.
ence, the first step in the analyzers is to make sure that the different instruments
coming in from different sources are harmonized by ensuring specific characteristics are
attributed to the instruments ) called the "financial ob(ect%. #his is done by derivation
based on different rules. Some of the characteristics will be derived from the
characteristics in the incoming instrument itself ) for e-ample a "fi-ed deposit%
instrument and a "bond% instrument may derive and assign the values "fi-ed deposit% and
"bond% to the "type% characteristic. #he derivation of the characteristic values is done very
similar to the derivation of characteristic values in profitability analysis. nce this is
done, you have uniform instruments in the analyzers database on which you can do
various kinds of analysis using the "analysis characteristics%. The analysischaracteristics provide a harmonized view of the concepts of an external system.
You will generally use Treasury and Risk Management with active financial object
integration. This generates a financial object for each operational financial instrument
position. The nalyzers don!t refer to position management" but to external position.
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ccounting aspects like valuation area#dependent segments of position are not taken
into consideration.
I would recommend once again to read and understand the analyzers from my "SAP
#reasury $ible% to someone who is really interested in understanding and then
mastering the analyzers. f course, it goes without saying that domain knowledge is
essential to fully appreciate and comprehend the analyzers.
/ote& All uoted passages from the book are in italics.
Credit Risk Analyzer – The $redit Risk nalyzer %TRM#$R& enables the active
control of default risks by computation of attributable amounts and specification of
limits. 'n the context of of Treasury and Risk Management" only the counterparty risk
is considered" that is" the risk of loss of value of a receivable due to degradation ofcredit standing of the business partner. The three key functions used for this task are
attributable amount determination" limit management and testing of limit utilization.
'n attributable amount determination the attributable amount is determined for the
receivable subject to default risk. The basis of calculation is typically the net present
value or the nominal amount of the receivable.
'n limit management" you can create limit types according to different limit
characteristics %eg( company code" business partner" trader" currency&.
The checking of transactions can take place using integrated single transaction checks
or during end#of#day processing. 'ntegrated single transaction checking can be
performed directly during the creation or change of a transaction in the Transaction
Manager. )nd#of#day processing is performed in the $redit Risk nalyzer.
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0se& #he #ypical Application of the 1redit Risk Analyzer is Integrated Single
#ransaction 1hecking. #his allows immediate calculation of attributable amount
determination upon creation or change to a financial transaction and comparison with
the limit specifications. Also in end2of2day processing, the attributable amount
determination and the utilization of limit specifications can be performed.
Market Risk Analyzer ) The core task of the Market Risk nalyzer %TRM#MR& is the
analysis of market risks in financial positions you are managing. $hanges to market
prices can influence the value" transaction value" or the timing of payment flows. Risks
can be analyzed according to their casual risk factors" like exchange rates or interest
rates" using arbitrarily definable risk and portfolio hierarchies. The level of real
transactions and market data can be extended if needed with business simulations and
market data scenarios" in order to show the change potentials of alternative backup
strategies.
The Market Risk nalyzer can therefore be divided into these functional areas(
Market data management
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*et present value calculator %also called the fair value calculator&
online reports
Results database
Portfolio Analyzer – The portfolio nalyzer groups tools for the calculation of yield
and performance figures as well as for the comparison of those key values with
benchmarks. The basis for calculation is the structuring of your portfolio into portfolio
hierarchies that define a flexible view of your positions with different levels of
aggregation. +n each of these levels" you can calculate the yields of a variety of
variants" and compare those benchmark figures with one another.
The ,ortfolio nalyzer is concentrated on the results database" because the greater
runtime re-uirements in comparison with the Market Risk nalyzer largely forbid
online analysis. The structure of the portfolio hierarchies as well as the yield and
benchmark calculations are versioned" so that an audit of the basic calculations is possible at any time" as are the reproduction and history of calculation results.
3ey 4alues ) #ime weighted Average 5ied, 6ietz #ime !eighted Average yield,
7odified 6ietz #ime !eighted Average yield, 7oney !eighted Average 5ield
1ustomization Steps
$elow are some of the steps reuired to setup the Risk Analyzers in SAP.
7arket 6ata 7anagement
Define Reference Interest Rates
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Define Yield Curve Type
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$asic Analyzer Settings
Define Analysis Characteristics
ere you create the characteristics reuired. 8or e-ample want to analyze by product
type, #rader etc. In this case, you have to create the characteristics here. Please note thatthe user defined characteristics should start with "!5%
$elow is an e-ample of the "#rader% characteristic created as "!5#R6%
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A "live% e-ample of analysis characteristics might look like this&
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Define Analysis Structure
#his is reuired to create the structure for reporting in 7RA 9 Portfolio Analyzer.
owever, the characteristics used in the structure will only be available in 1RA as
analysis characteristics for limit management.
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#he characteristics created by the user as well as pre defined ones are available for
creation of the structure. 7ove these from the right bo- to the left bo- using the arrow
keys. Please note that company code is by default taken by the system automatically and
hence not available here.
:ive a structure name, then save and activate it. #his activation activates the structure
across all clients.
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Select "ther b(ects% and then check all the bo-es as below and click the e-ecute button
;or 8
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Activate the structure for the reuired client
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dit Se!"ent#$evel Characteristics
#he characteristics which is needed for the portfolio hierarchy should be marked as
segment relevant here. therwise it will not be available there. #his is also true for
characteristics reuired for the 1redit Risk analyzer. ence, if you are maintaining
limits based on any characteristics ;for eg trader, business partner= then these have to be ticked here as segment relevant.
Please note that since segment level takes a lot of resources, it is better that segment is
not ticked for transaction number if you have this as one of your characteristics.
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A "live% e-ample of segmental characteristics&
Define Characteristic %alues
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It is advisable that you maintain the values from here only for those characteristics
which are user defined and with own value maintenance. 8or others ;for eg like Product
types, transaction types etc= maintain it where it is supposed to be maintained.
A "live% e-ample &
Maintain &eneral Derivation Strate!y
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#he :eneral characteristics values like Asset Indicator etc needs to be derived into the
financial ob(ect in the Analyzer when the 8inancial #ransaction in created in
#ransaction 7anager. 8or this, the derivation strategies for the analysis structure
created above are defined in these steps.
A ‘live’example
Activate 'inancial ()*ect Inte!ration
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5ou now have to activate 8inancial b(ect Integration for the individual #R7
components necessary for the analyzer.
#he Activation should be done for each component of the Analyzer. 8or 7RA, the
"Analysis% component should be activated, for 1RA "6efault Risk >imit% component
should be activated.
If you set the indicator "partially active% then, if the characteristic values are not fully
derived or entered when a #R7 transaction is saved, it will allow the save with a
warning. n the other hand if the "fully active% indicator is selected, then you cannot save
until all the characteristics are derived or entered manually while creating the
transaction.
Please note that in case all the values are not derived and saved, then you can manually
enter these in the financial ob(ect using post processing.
5ou give the product types for which 8 integration is reuired under each component.
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Derivation Strate!y for Individual TRM Types
5ou have to maintain the "1haracteristics value% 6erivation strategy for individual
components like 77, Securities etc.
Please note that since 8inancial b(ects are created for securities and futures account at
the class level unlike others where a financial ob(ect is created for each individual
transaction, the derivation is for the class position ;please note that with ?P@, even for
securities, financial ob(ects can be created for each individual transaction=
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"live% e-amples&
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Define Portfolio +ierarchy
Define %aluation Rule
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Assi!n %aluation Rule via Product Type
An e-ample worksheet of mapping product types to valuation rules5ield 1urves etc
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Define and Setup valuation Types
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‘live examples’
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Assi!n Cash 'lo, Indicator for Securities ,ith -pdate Types
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&enerate Cash 'lo, Indicators Auto"atically
Revie, and "ake any chan!es to the Cash 'lo, Indicators
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Market Risk Analyzer Settin!s
Define Cash 'lo, Type and Assi!n Cash 'lo, Indicators
/ote& most of these settings might be already setup in the SAP default system itself
Define %alue at Risk Type
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4aR;4alue at Risk=
!e are "-B% certain that we will not loose more than "v% dollars in the ne-t "n% days
#he variable "v% is the 4aR of the portfolio
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It is a function of two parameters, "n% the time horizon and "-% the confidence level
Credit Risk Analyzer
&lo)al Settin!s
7enu Path ) SPR#reasury and Risk 7anagement1redit Risk Analyzer$asic
Settings:lobal Settings
CSet the flag "6efault Risk Active%
CSpecify the ?valuation #ype ;for eg R7D'=. #he evaluation type is needed to determine
the attributable amount, if it has net present value as a basic key figure ;link this to the
part where the basic key figure is set up=
CSet the flag "6eriv. Active%. $y setting this you can specify that the default risk rule and
the other control parameters needed for the processing of a financial transaction within
default risk limitation should be derived automatically upon creation of the transaction
in the transaction manager.
CSet the flag "Sec. Acct pos% to derive the default risk rule etc as mentioned above for
securities account class postings
CSet the flag "workflow is active% if a message is to be sent to a responsible person when a
limit is e-ceeded within the integrated single transaction check
CSet the flag " 17 link is active% if you want the connection of the 1redit Risk Analyzer to
the 1ash 7anagement is to be activated.
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Activate Inte!rated Default Risk $i"it Check
Define %aluation 'actor Deter"ination
This defines a procedure that determines whether the attributable amount should be
calculated for counterpartyissuer risk or country risk.
/ecause the country risk is exclusively the part of 0)M banking" under 1$,$ountry
risk! you can only select the counterpartyissue risk and under 1Recovery Rate /asis!
you can only select the business partner rating.
This setting is later used for assigning 1Risk sensitivities!" 1$ounterpartyissuer default
probabilities! and 1Recovery rates!
Define Collateral %aluation Rule
)ven if you are not considering the deposit of collateral" you should still create at least
one collateral valuation rule" as it is needed for the definition of the determination
procedure.
The collateral valuation rule determines whether a collateral reduces the attributable
amount by the same amount is covers the economic" political or maximum risk from
both areas.
0ince we will consider only the counterpartyissuer risk" create a collateral valuation
rule that has 1)$+*+M'$! for both its primary risk reduction and its secondary risk
information
Define Deter"ination Procedures
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The determination procedure specifies the parameters which" together with a default
risk rule" control the calculation of attributable amount
2ield 13aluation 2actor! 4 specify the procedure created for the valuation factor
determination in the preceding steps
2ield 1Risk $ategory! 4 if the determination procedure is for 1settlement risk! then select
the 1settlement! risk! value and if the determination procedure is for 1credit risk!" select
the 1credit risk! value
ccording to current trading usage for a forward exchange rate contract" the
settlement risk starts two days prior to the value date in the transaction
2ield 1)xposure! 4 set to 15ross!. 'f set to gross" then the collateral settings have no
reducing effect on the attributable amount for a financial transaction. +n the other
hand if 1*et! is selected" then the collateral provisions are subject to the rules specified
in the 1collateral valuation rule! field
2ield 1$ollateral valuation rule! 4 this is a re-uired field and enter the rule created
under 16efine collateral valuation rule! in the previous step
Risk commitment period describes the period of time within which the dissolving of a
transaction is difficult or impossible.Thus the default probabilities are defined depending on the risk commitment period
and generally rise with increasing risk commitment periods.
2lag 1'nterpolation of the default probability! is set" then the default probabilities are
interpolated linearly between two risk commitment periods. 'f the flag is not set then
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for one risk commitment period" the default probability of the next larger risk
commitment period will be used.
Please note that determination procedures are to be created as many as reuired. In a
scenario with settlement risk and two credit risk analysis, we have to create E different
determination procedures
Define Default Risk Rule
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#he basic control of Attributable Amount 6etermination is e-erted by means of the
"6efault Risk Rule%. ence, if we have to analyze more than one risk, then we have to
maintain different "6etermination Procedures% for that "6efault Risk Rule%
8or eg& if for a 8oreign ?-change #ransaction, we want to look at both the settlement
risk and the credit risk for default risk limitation and further we want to measure the
credit risk in two different ways, then we must store three different "6etermination
Procedures% for that assigned "6efault Risk Rule%. ne determination procedure must be
active during settlement and two other determination procedures are used during the
term of the instrument.
The default risk rule specifies the economic input parameter for attributable amount
determination. Thus each 2inancial object must be assigned a default risk rule fordefault risk limitation
2or financial transactions with the same default risk rule" the attributable amounts
are determined using the same economic parameters
The date determination area in default risk rule definition is used to define how the
1Market 3alue $hange ,eriod %M3$,&! and the 1Risk $ommitment ,eriod %R$,&! will be
determined for the financial transaction.
Typical periods are 1end of term!" 1fixed interest period! or 1capital tie#up!.
7owever" fixed values can be entered" in which case the corresponding value needs to
be specified in months.
'f you want to ignore these values" then the fields can be left blank
The M3$, is used in the determination of add on factors
The R$, is needed for the determination of the default probabilities and checking
against the limit specifications
The 15eneral $ontrol ,arameters! frame defines the default setting for the 1Recovery
Rate!. 'f re-uired this can be left blank if the recovery rate is being derived in the
financial instrument
The 1settlement risk! flag is set if the settlement risk is to be calculated for the defaultrisk rule
Define Sin!le Transaction Check Product
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Define Start Date for Risk Calculation
2or money market transactions" you can use the customizing activity 16efine 0tart
6ate for Risk $alculation! to select the date as of which the financial transaction
should be considered for risk calculation. You can select either the start of term or the
date of conclusion
Define %aria)le Assi!n"ent ID
dit Settin!s for Deter"ination Procedures
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nter .asic Settin!s for $i"it Mana!e"ent
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Define &enerated Characteristics
5ou need to define the characteristics here which you want to use for limit management
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Define $i"it Types
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An e-ample worksheet of mapping of limit types
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Define $i"it Product &roups
Portfolio Analyzer Settin!s
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Please note that I have not done any actual implementation of the portfolio analyzer and
these steps are taken from the notes during my learning process.
Set Initial Ta)le %alues for Assi!n"ent of TM 'lo, Type to PA 'lo, Type
/ote& most of these settings might be already setup in the SAP default system itself
Maintain PA 'lo, Types
Assi!n C'M#TM 'lo, Types to PA 'lo, Type
6o this if this has not been already done
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'la! 'lo,s as Relevant to Perfor"ance Mana!e"ent
&enerate Proposals for PA Cash 'lo,s
Generate Proposals – Explanation from SAP Help
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Create .ench"arks
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Assi!n .ench"arks to /odes in Portfolio +ierarchy
Define Yield Ran!es 5ou do this only if you reuire any value other than the defaults
Create 0ey 'i!ures and valuation Procedures
#his part in my opinion is the tricky bit in the portfolio analyzer. I made a recording of
these steps, but I am not sure whether it is in a presentable form. owever, reading the
mentioned will give you a solid understanding.
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Define Initial $ayout
Define 'or"ulas for Analyzer Infor"ation Syste"
5ou do this step if you want to see calculated fields in the report.
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Some :eneral /otes&
'. In the :eneral 6ata part of 8inancial b(ect, there is a section ) Analysis;R7=. In this
section there is an "Analysis Active Indicator%. #his should be selected automatically via
the derivation rules. #he Analysis active indicator makes a financial ob(ect visible for the
evaluations of the 7arket Risk Analyzer and Portfolio Analyzer. ence if this indicator
is not set, then the 8inancial ob(ect will not be selected for evaluation.
+. In the same section, there is the "validity% fields for entering the financial ob(ects
validity start and end period. #his validity period is not used in nay analytical uestion.
owever, it is recommended that these dates are filled in with a few "e-tra% days at the
beginning and end of the actual validity of the financial ob(ect. 1orrectly specified
validity can be used to achieve a significant performance boost in your system. #his is
because the ob(ects not in the relevant period for an analysis are filtered out in the first
evaluation step itself.
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E. Analysis structure is client independent. If you want to use multiple analysis structure
for different clients in the same system, you should activate the analysis structure for
each client. 8or each client, there is always e-actly one analysis structure activated.
@. #he characteristic "company code% is reuired by each and every financial ob(ect. #o
achieve this, the characteristic "company code% is always automatically a part of the
analysis structure.
F. /e very careful with the action of activating an analysis structure % Activate in the
main screen of transaction AFWA" in the Current Analysis Structure in
Client frame&
'f you are actively using analysis structure 189:;! in a production system with existing
financial objects" and activate a second analysis structure 1/$6"! the second structuredirectly takes on the role of the active analysis structure and the first analysis
structure 189:;! is deactivated. The result is that you will no longer see any financial
objects at all" because all the existing financial objects store their characteristics values
in the tables of the analysis structure 189:;! which has just been deactivated. 'f you
don!t notice the error immediately and system operation continues without the
analysis structure 189:;! being reactivated" all new and changed financial objects will
write their data to the new data structures. The result will be an inconsistent system
state. The repairs you will have to make then will be very tedious" lengthy" and
expensive" because there is no reversal function of any kind.
G. *ote that for analysis characteristics that refer to operational 0, tables" the tables
can be directly changed by the
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than 8>">>> different characteristic value combinations of segment#relevant
characteristic can occur. 't is important to know that only the actually occurring
combinations are relevant" not the theoretically possible ones. /ecause this is often
difficult to estimate" however" very differentiating characteristics" like 1transaction! or
1contract! numbers" should be avoided.
'f you need to report such differentiating characteristics" however" under the last leaf
of a portfolio hierarchy you also have both online individual analyses and drilldown
reporting.
. In an e-isting operational system, when you activate analyzers, there might already be
operational positions in the system. In that case, you can generate financial ob(ect in
batch runs for the e-isting operational positions using the below mentioned
transactions.
,lease note that at the time of creation of financial objects" characteristic derivation
should be complete in order to avoid postprocessing %,ost process Transaction
2+?2+'?,,&
'D. It is normal for the reuirements for your analyses to change over time. #hese new
reuirements will sometimes reuire changes to the financial ob(ects.
) Sometimes, in addition to your previous analysis characteristics, you need new ones*
) Relabel an e-isting analysis characteristic as segment2forming*
) 5ou may need to change the derivation rules and that they are now going to be used
on e-isting financial ob(ects*
Some changes like the addition of a new characteristic may apply only to the analysis
;R7= component of the financial ob(ect while other changes like the derivation rule
change may affect both the analysis ;R7= component and the default risk limit
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component of the financial ob(ect. ence, actions to effect the changes should be
performed specifically for each component. :iven below are the transactions to perform
these changes.
Process
$elow are some sample processes.
$i"it Maintenance
Step No: 1
Step Name: Maintain Limits
Menu Path:
Accounting>inancial Suppl! "#ain Management>"re$it %is& Anal!'er>Master (ata>Limits>Maintain
Transaction Code: )*L1
Business
Condition: Limits nee$ to +e set up for various limit t!pes
Expected Results: Limits are set
External Process
Ref:
Client Specific
Process Ref:
Eg,
1- Limit is to +e set up for t#e com+ination of "ompan!"o$e>)ra$er>Pro$uct )!pe
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.- Limit to +e set up for t#e com+ination of "ompan!"o$e>/n$ustr!
Revie, of $i"it -tilizations
Step No: 1
Step Name: Generate Limit 0tili'ations
Menu Path:
Accounting>inancial Suppl! "#ain Management>"re$it %is&
Anal!'er>)ools>En$of(a! Processing>Generate 0tili'ations
Transaction
Code: 2L3A"H)
Business
Condition:
At t#e en$ of ever! $a!4 t#e limit utili'ations s#oul$ +e
generate$ for t#e transactions 5#ic# 5ere entere$ $uring t#e $a!-
Expected Results:
0tili'ations from t#e conclu$e$ transactions are calculate$ an$
up$ate$ against t#e various limit com+inations
External Process
Ref:
Client Specific
Process Ref:
)#is nee$s to +e execute$ at t#e en$ of ever!$a! using +ac&groun$ processing
Step No: .
Step Name:
"onfirm t#e completeness of t#e Generation of Limit
0tili'ations in *ac&groun$ Processing
Menu Path: S!stem>Services>6o+s>6o+ 7vervie5
Transaction Code: SM89
Business Condition:
Expected Results:
)#e Status of t#e +ac&groun$ Processing 6o+ ‘%2L3A"H)’
s#oul$ +e ‘inis#e$’-
External Process
Ref:
Client Specific
Process Ref:
Step No: 8
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Step Name: %evie5 t#e ‘En$ of (a! Processing’ Log
Menu Path:
Accounting>inancial Suppl! "#ain Management>"re$it %is&
Anal!'er>/nformation S!stem>%eporting>En$of(a!
Processing, Logs
Transaction
Code: 2LEH
Business
Condition:
%evie5 t#e Log to c#ec& 5#et#er t#ere #ave +een an! errors in
t#e processing
Expected
Results:
External Process
Ref:
Client Specific
Process Ref:
Step No: :
Step Name: Are t#ere an! Errors;
Menu Path:
Transaction Code:
Business Condition:
Expected Results:
External Process Ref:
Client Specific Process Ref:
Step No: <
Step Name: "orrection of Errors
Menu Path:
Transaction Code:
Business Condition:
Anal!'e t#e errors liste$ in t#e Log an$ ta&e necessar!
steps to correct t#e same
Expected Results:
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External Process Ref:
Client Specific Process
Ref:
Step No: =
Step Name: (o Post Processing
Menu Path:
Accounting>inancial Suppl! "#ain Management>"re$it %is&
Anal!'er>)ools>En$of(a! Processing>Execute PostProcessing
Transaction
Code: 2L3A"H).
Business
Condition:
7nce t#e errors #ave +een rectifie$4 run t#e post processing- )#e
s!stem automaticall! creates 5or& list for t#e errors- Select t#ese
5or& list from t#e $rop $o5n an$ execute-
Expected
Results:
7n completion4 t#e limit utili'ations are up$ate$ 5it# all t#e
transactions reflecte$-
External
Process Ref:
Client Specific
Process Ref:
Step No: 9
Step Name: %evie5 t#e Limit 0tili'ation %eport
Menu Path:
Accounting>inancial Suppl! "#ain Management>"re$it %is&Anal!'er>/nformation
S!stem>%eporting>0tili'ations>7vervie5,Selection 0sing All
"#aracteristics
Transaction
Code: )*L*
BusinessCondition:
)o vie5 t#e Limit utili'ations for various limit t!pes at t#e en$ of t#e$a!
Expected
Results: Limit 0tili'ation %eport is generate$
External
Process Ref:
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Client
Specific
Process Ref:
$i"it Transfers
Step No: 1
Step Name: "reate Limit )ransfer
Menu Path:
Accounting>inancial Suppl! "#ain Management>"re$it %is&
Anal!'er>Master (ata>Limits>Maintain
Transaction
Code: )*L1
Business
Condition: 0nuse$ limits of one limit constituent to anot#er
Expected
Results:
External
Process Ref:
Client Specific
Process Ref:
Ex, /f one )ra$er #as excee$e$ #is limit in one Pro$uct )!pe an$#e #as unuse$ limits in t#e ot#er pro$uct t!pe4 t#en !ou can use
t#is transaction to transfer t#e unuse$ limit for a specific perio$-
Step No: .
Step Name: Process t#e create$ Limit )ransfer
Menu Path:
Accounting>inancial Suppl! "#ain Management>"re$it %is&Anal!'er>Master (ata>Limits>"ollective Processing of Limit
)ransfers
Transaction
Code: )LL<
Business
Condition: )#e limit transfers create$ nee$s to +e processe$
Expected
Results: )#e limits are transferre$ an$ t#e 0tili'ation is a$uste$
External Process
Ref:
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Client Specific
Process Ref:
Step No: 8
Step Name: %evie5 t#e Limit 0tili'ation %eport
Menu Path:
Accounting>inancial Suppl! "#ain Management>"re$it %is&Anal!'er>/nformation
S!stem>%eporting>0tili'ations>7vervie5,Selection 0sing All
"#aracteristics
Transaction
Code: )*L*
Business
Condition: )o vie5 t#e Limit utili'ations after t#e transfer of t#e Limit
Expected
Results:
External
Process Ref:
Client
Specific
Process Ref:
-pload Reference Interest RatesStep No: 1
Step Name: 0ploa$ %eference /nterest %ates
Menu Path:
Accounting>inancial Suppl! "#ain Management>)reasur! an$
%is& Management>)ransaction
Manager>Securities>Environment>Mar&et (ata>Sprea$s#eet
Transaction
Code: )*E?
BusinessCondition:
@ou nee$ to up$ate t#e %eference /nterest %ates for t#e $a! tocreate t#e @iel$ "urve
Expected
Results: )#e relevant %eference /nterest %ates are up$ate$ in t#e s!stem-
External
Process Ref:
)#e %eference /nterest %ates for t#e $a! is o+taine$ in Excel orman$ t#is nee$s to +e uploa$e$ into t#e s!stem-
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Client Specific
Process Ref:
valuate Yield Curve
Step No: 1
Step Name: Evaluate @iel$ "urve
Menu Path:
Accounting>inancial Suppl! "#ain Management>)reasur! an$
%is& Management>*asic unctions>Mar&et (ata
Management>Manual Mar&et (ata Entr!>/nterest>Enter an$Evaluate @iel$ "urve
Transaction
Code: 6*@"
Business
Condition:
@ou nee$ to,1- ie5 t#e @iel$ "urve.- ie5 for5ar$ /nterest %ates
8- ie5 t#e (iscounting actor
Expected
Results: )#e relevant $ata is $ispla!e$
External
Process Ref:
%eference /nterest %ates relevant to t#e !iel$ curve #as +een loa$e$
in t#e s!stem
Client Specific
Process Ref:
Maintain Scenario Shifts in Yield Curve
Step No: 1
Step Name: Maintain Scenario S#ifts in @iel$ "urve
Menu Path:
Accounting>inancial Suppl! "#ain Management>)reasur! an$
%is& Management>Mar&et %is&
Anal!'er>Simulation>Scenarios>Scenario A$ministration
Transaction
Code: ).1
Business
Condition:
@ou nee$ to create various scenarios 5it# $ifferent c#anges to
current reference interest rates in or$er to vie5 its impact in various
reports-
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or eg, to vie5 t#e impact in t#e 3P
Expected
Results:
Scenario is create$-
@ou can also vie5 t#e @iel$ curve +ase$ on t#e c#anges !ou #ave
ma$e
External
Process Ref:
Client
Specific
Process Ref:
/n t#e Scenario4 !ou can a$ustBc#ange t#e interest rates eit#er across
t#e +oar$ for all t#e reference interest rates forming part of t#e !iel$
curve or c#ange rates for eac# of t#e reference interest rate forming
part of t#e !iel$ curve
Market Risk Analyzer – So"e ReportsStep No: 1
Step Name: (o 3P Anal!sis
Menu Path:
Accounting>inancial Suppl! "#ain Management>)reasur! an$
%is& Management>Mar&et %is& Anal!'er>/nformation
S!stem>Mar&toMar&et>3P Anal!sis
Transaction
Code: 6*%?
Business
Condition:
@ou nee$ to vie5 t#e 3et Present alues C3PD of !our inancial
/nstruments an$ $o an anal!sis-
Expected
Results: 3P values +ase$ on t#e selection criteria is $ispla!e$
External Process
Ref:
Client Specific
Process Ref:
@ou can anal!'e an$ compare t#e 3P values 5it# t#e $ifferent
scenarios
Step No: .
Step Name: "ompute Macaula! (uration
Menu Path:
Accounting>inancial Suppl! "#ain Management>)reasur! an$
%is& Management>Mar&et %is& Anal!'er>/nformationS!stem>Sensitivit! Anal!sis>Sensitivit! 2e! igures
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Transaction
Code: A/SS
Business
Condition:
Macaula! (uration4is#ereil (uration an$ "onvexit! nee$s to
+e anal!'e$
Expected
Results:
Macaula! (uration4is#ereil (uration an$ "onvexit! are
calculate$ an$ s#o5n in t#e Portfolio Hierarc#!
External
Process Ref:
Client Specific
Process Ref:
Step No: 8
Step Name: Sensitivit! Anal!sis
Menu Path:
Accounting>inancial Suppl! "#ain Management>)reasur! an$
%is& Management>Mar&et %is& Anal!'er>/nformation
S!stem>Sensitivit! Anal!sis>Sensitivit! Anal!sis
Transaction
Code: 6*%6
Business
Condition:
@ou nee$ to perform a Portfolio evaluation 5it# s!stematic c#anges
to mar&et parameters-
)#is permits !ou to $etermine #o5 sensitive t#e portfolio values areto c#anges in t#ese influences- or example t#e Exc#ange rate an$
t#e !iel$ curve-
Expected
Results:
or eac# portfolio no$e4 t#e 3P +ase$ on t#e scenario given is
‘Actual 3P’- /n a$$ition4 eac# c#ange$ 3P is s#o5n +ase$ ont#e mar&et price c#anges CSimulate$ 3PD- )#e a+solute $ifference
+et5een t#e t5o is liste$ as ProfitBLoss
External
Process Ref:
Client Specific
Process Ref:
%aR Analysis
Step No: 1
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Step Name: alue At %is& /n$ivi$ual Anal!sis
Menu Path:
Accounting>inancial Suppl! "#ain Management>)reasur! an$
%is& Management>Mar&et %is& Anal!'er>/nformation
S!stem>alue At %is&>a% /n$ivi$ual Anal!sis
Transaction
Code: %MF
Business
Condition: @ou nee$ to perform a alue at %is& Anal!sis of t#e Portfolio-
Expected
Results:
(epen$ing upon t#e anal!sis parameters t#e alue At %is&4 3et
Present alue4 (elta4 Gamma an$ Profit an$ Loss values can +e
o+taine$
External
Process Ref:
Client Specific
Process Ref:
Step No: .
Step Name: alue At %is& Anal!sis at Portfolio an$ %is& Hierarc#! Levels
Menu Path:
Accounting>inancial Suppl! "#ain Management>)reasur! an$
%is& Management>Mar&et %is& Anal!'er>)ools>(rill$o5n
%eporting>%eport>(ispla!
Transaction
Code: 6*F
Business
Condition:
@ou nee$ to perform a alue at %is& Anal!sis at Portfolio
Hierarc#! an$ %is& Hierarc#! Levels
Expected
Results:
(epen$ing upon t#e anal!sis parameters t#e alue At %is&4 3et
Present alue4 (elta4 Gamma an$ Profit an$ Loss values can +e
o+taine$ at Portfolio Hierarc#! an$ %is& Hierarc#! levels
ExternalProcess Ref:
Client Specific
Process Ref:
Create Risk +ierarchy
Step No: 1
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Step Name: "reating t#e %is& Hierarc#! for alue At %is&
Menu Path:
Accounting>inancial Suppl! "#ain Management>)reasur! an$
%is& Management>Mar&et %is& Anal!'er>Master (ata>%is&
Hierarc#!
Transaction
Code: 6*%%
Business
Condition:
/n t#e ris& #ierarc#! !ou $efine t#e +rea&$o5n of mar&et ris&
into its components- )#e ris& factors provi$e t#e +asis for t#e ris&
#ierarc#!
Expected
Results: )#e ris& #ierarc#! is generate$
External Process
Ref:
Client Specific
Process Ref:
or eg, /n some institutions4 t#e Hierarc#! for Securit! Prices is
onl! create$-