Risk Analyzers

8/16/2019 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:


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:


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:


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:


%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:


%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:


%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:


%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:



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:



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:


%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:


%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$-

Documents

Risk Analyzers