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SIMG_VC_CFM_AUSWT - SIMG VC CFM AUSWT

SIMG_VC_CFM_AUSWT - SIMG VC CFM AUSWT

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In this step you make the settings for the evaluation type and for the valuation rule, each at a different level.

  • Level 1

On this level you create evaluation types and the corresponding default settings for these evaluation types. Here you can also make evaluation type-dependent settings for gap analysis and depreciation risks.

The default settings for the evaluation type are default market price parameters needed by the NPV calculators for the determination of valuation-relevant market data. You access these default values by making no valuation rule-specific settings for the market price parameters (see level 2).

You can use the default settings for the valuation of write-downs for the write-down rule general settings as part of ALM Simulation.

  • Level 2

On this level you assign valuation rules to the evaluation type. Here you can assign valuation rule-specific market price parameters to a transaction, which overwrite the default entries on level 1. Only significant entries can be used for overwriting. If you do not fill the fields, the default values apply.

You can also store one derivation rule per valuation rule for the value at risk. This derivation rule defines how a transaction is to be valued in a historical simulation based on the combination procedure.

For gap analysis, you can define further valuation rule-specific settings. You can also define setting specific for write-down rules. The general settings for gap analysis are to made in the gap valuation type.

You must first define the market price parameters that are to be used.

In order to execute evaluations in Risk Management without error, first completely maintain the default settings for at least one evaluation type.

  1. Enter short and long descriptions, by double-clicking you come to the screen for maintaining market parameter defaults.
  2. Select an evaluation type on the initial screen. This enables you to use the navigation function to make the general settings.
  3. Select an evaluation type on the initial screen to enable you, via navigation, to assign the valuation rules to the selected evaluation type (level 2). As in level 1, maintain the valuation rule-specific market parameters.
  4. In the valuation rule table, select a valuation rule specially for the previously chosen evaluation type to enable you, via navigation, to make the valuation rule-specific settings for value-at-risk and gap analysis.
  5. Use the same procedure to make the settings specific for the write-down rule.
  6. Choose Save.





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