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Statistic Calculator (Changed) ( RELNBANKFSCM_500_STAT )

Statistic Calculator (Changed)

As from SAP ECC 5.00 Financial Services (EA-FS 500), the functions of the statistic calculation have been changed as follows:

The confidence level (scaling factor) in the statistic type is no longer used by the system. The corresponding volatilities and correlations are interpreted as annualized values in other evaluations. If you import values that have already been scaled (for example, data from JPMorgan), then you need to adjust this process.

The system needs the semidefinite matrices of the correlations for the valuations in the new price calculator and for the VaR analyses. Correlation matrices can now be adjusted in the statistic calculator.

The calculation of volatility values was changed. Up until now, if market data was missing, interest rates were interpolated. However, for the volatility of interest rates this led to results that were difficult to interpret. In the modified calculation process, complete market data is required, or, based on the setting in the error tolerance field, backreading is used to find missing rates. Therefore, when you create the risk hierarchy, make sure that you enter market data for all risk hierarchy nodes so that the system can calculate volatilities and correlations for them in the statistic calculator.

The interpretation of the Holding Period field has been changed. It has also been renamed, and is now called Term. The term specifies the number of business days between which differences in value are calculated to determine the volatility and correlations. Volatilities are stored on the database as annual values. These values are calculated by converting the term in business days into the number of calendar days. The following formula is used to do this: Term (calendar days) = term (business days) x 365/number of business days in factory calendar (rounded to a whole value). The changed interpolation method affects the VaR analyses that use historical volatility values and correlations. For more information see Key Figures for the Results Database (Changed).

For more information see the SAP Library under SAP Banking → SEM Banking → Data Pool → Calculating Volatility and Correlations.

This change in the interpretation interrupts the history of generated volatilities and correlations. This has the following consequences:

If you want to analyze data from the past, you must first regenerate the statistical data for the evaluation date in question by using the modified statistics calculator. To avoid inconsistencies and the use of obsolete statistical data, we recommend that you create a new volatility type and a new correlation type, and use them to store the new statistical data. Note that you need to adjust the evaluation type accordingly.

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