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Changes to Risk Hierarchy Maintenance ( RELNBANK_462_MR_RH )

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Changes to Risk Hierarchy Maintenance

Use

From Release 4.62, risk hierarchy maintenance is control-driven. You still maintain the data in two screens. The header data contains the general settings, and the screen for the hierarchy tree determines the structure of the risk hierarchy.

If you double click on a node in the risk hierarchy or on a risk factor, the system displays the corresponding information alongside the hierarchy tree. As well as the short and long texts for the node, you can display or change the aggregation category and the value at risk indicator, and no longer need to branch to several different screens.

You can maintain a text for the risk factors and define the risk category using a dropdown menu. Depending on risk category you choose, the system displays different risk factor attributes. The risk category "Not assigned" is assigned to newly created risk factors. When you save, this results in an error message indicating that the risk hierarchy is inconsistent. The risk category "Yield curve" replaces the pushbutton RefInt used in earlier releases, and inserts the reference interest rates for a yield curve under the current risk factor. To do this, you are required to specify the yield curve type and currency. You can still regenerate the yield curves below a selected node using the menu function Regenerate Yield Curve.

In the application toolbar, the pushbuttons Create node and Delete node are available for processing the hierarchy tree. The following options are available for creating new nodes:

• If you select a risk node and choose Create node, the system creates a new risk factor with the risk category "Not assigned" as a subnode of the node you have selected.

• If you create a new hierarchy element for a risk factor that has already been assigned a risk category, the system creates a new risk factor on the same level with the risk category "Not assigned".

• If you create a new risk factor for a risk factor with the risk category "Not assigned", the system converts the risk factor you have selected into a node, and creates the new risk factor as a subnode with the risk category "Not assigned".

You can also select the above functions for processing the hierarchy tree using a context-sensitive menu (right-click on an element in the tree).

Further Information

SAP Library: Market Risk Analysis -> Evaluation Control -> Risk Hierarchy

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This documentation is copyright by SAP AG.

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