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FTBBV_CFARTYPE - Define Cash Flow at Risk Type

PERFORM Short Reference   General Data in Customer Master  
This documentation is copyright by SAP AG.

In this Customizing activity, you define your Cash Flow at Risk types. The Cash Flow at Risk type is used to store important information for the reports used to calculate the Cash Flow at Risk.

You need to have defined the volatilty types and correlation types under Treasury and Risk Management -> Basis Functions -> Market Data Management -> Master Data -> Statistical Data:

• Define Volatility Types

• Define Correlation Types

1. Choose New Entries.
2. Define a three-digit ID for the CFaR type.
3. Enter a description for the CFaR type.
4. Choose the Cash Flow at Risk category. You have the following options:

• 0 Simulation

• 1 Variance/Covariance

1. Make your settings.

General Settings

• Confidence Level

• Volatility Type

• Correlat. Type

• Item Calculation

• Calendar ID

Settings for Simulation (only relevant for Cash Flow at Risk category Simulation)

• Simulation Category

The following calculation methods are available for the generation of normally distributed random numbers:

01,,Structurized Monte Carlo with Box Muller Alg. for Gen. NDRN

02,,Structurized Monte Carlo with Tree Alg. for Gen. NDRN

03,,Structurized Monte Carlo with Strata Gems Alg. for Gen. NDRN

• Initial Value

• Simulation Runs

• Time Grid

• Step Size

• CFaR Method

1. Assign the Authorization Group
2. Save your entries.

General Data in Customer Master   ROGBILLS - Synchronize billing plans  
This documentation is copyright by SAP AG.

Length: 4006 Date: 20240523 Time: 192608     sap01-206 ( 30 ms )