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Simulated Positions in Value-at-Risk and Gap Analysis for Release 4.02 ( RELNBANK_402_RISK_SIMPOS )

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Simulated Positions in Value-at-Risk and Gap Analysis for Release 4.02

Description

Since Release 4.01, you have been able to save the transactions created with the ALM simulation in the data pool, and use them in NPV analysis. As from Release 4.02, you can also use these transactions in the VaR and Gap analyses.

This also applies to fictitious transactions which you have created individually.

• Gap Analysis

The procedure in Gap analysis is precisely the same as the procedure in NPV analysis. The two characteristics position number and simulation run number are available in drilldown reports, and can be used for both selection and display purposes. These characteristics are also available in the ALM report.

• Value-at-Risk Analysis

Since the value at risk cannot be added together, a different procedure is required. Here, a new parameter - position groups - is used to summarize positions. You define position groups in the task level menu.

When you define a VaR form, you must assign each key figure a position group. In the report, the corresponding column then displays all transactions included in the respective position group.

Reports created upto Release 4.01, which do not recognize the position number or the position group, only take account of real transactions (position number #).

SUBST_MERGE_LIST - merge external lists to one complete list with #if... logic for R3up   SUBST_MERGE_LIST - merge external lists to one complete list with #if... logic for R3up  
This documentation is copyright by SAP AG.

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