Editing a Scenario (SAP Library - Market Risk Analyzer)

Editing a Scenario

Choose Accounting ® Bank Applications ® Risk Analysis ® Market Risk Analysis ® Market Data ® Scenario Administration.

The system displays the screen Scenario Admin: Initial Screen.

Enter the (or a new) description for the scenario. To edit the scenario choose Create, Change, Display or Delete.

Note

To speed up the process of creating an entirely new scenario, you have the option of copying an existing scenario and simply making the necessary changes to it. The scenario data is transferred from the template.

To create a scenario, enter a full name for the input help and a short name for the drilldown.

If you want to activate an additional authorization check for the individual scenario, assign an authorization group to this scenario on the tab page administrative data. You define the authorization group in Customizing. For Banking choose SAP Banking ® Strategic Enterprise Management ® Risk Analysis ® Common Settings for Market Risk and ALM ® Maintain Authorizations/Profiles/Users ® Maintain Authorization Groups. For CFM choose Corporate Finance Management ® Basic Analyzer Settings ® Maintain Authorizations/Profiles/Users ® Maintain Authorization Groups.

Enter the required data by choosing the appropriate tab page. To enter new details, choose Insert row.

Exchange rates:

Always specify a reference currency and choose Continue. In the currency field, enter for which (foreign) currency you wish to define an exchange rate scenario. Enter a bid rate and an ask rate. When you choose Continue, the system automatically fills the fields from currency and to currency on the basis of the settings you made in Corporate Finance Management (CFM) Customizing under Transaction Manager ® General Settings ® Transaction Management ® Currencies ® Define Leading Currency.

Yield curves:

Before you can enter interest rates for yield curves, you need to enter a currency and a yield curve type (YCtype) and choose Continue. To maintain interest rates, select the line and choose This graphic is explained in the accompanying text . On the screen that now appears (Create grid points for yield curves), enter the rates for your scenario. The system offers you all the reference interest rates of the specified yield curve.

By choosing This graphic is explained in the accompanying text you can have a look at and change the selected yield curve. To obtain general information about how to work with the graph choose Help. You can change the yield curve whilst still in the display of the graph by double clicking on a grid point. You have the following options for changing the yield curve in the SAP presentation graph:

Function	Procedure	Result
Interpolation	Choose Interpolation, select the 2 grid points by dragging the mouse (the grid points' text changes to **), choose the interpolation type Polynomial, Splines or Straight-line.*	The yield curve is interpolated between the two grid points you selected.
Mirror image	Choose Mirror image, then double click on a grid point.	The yield curve is mirrored at the chosen grid point.
Total shift	Choose Total shift and move a grid point with your mouse.	All grid points are "shifted" by the chosen amount.
Rotation	Choose Rotation, double click on a grid point as an axis (the grid point's text changes to **), choose with angle* or with shifts. For a rotation with angle you can define explicitly the angle of rotation. Note that a 100% change is defined as a rotation angle of 0.3°.	The yield curve is rotated round the chosen grid point.
Individual shift	Choose Individual shift and move a grid point with your mouse.	The chosen grid point is "shifted" by the chosen amount.

To "shift" yield curves directly by a certain number of percentage points, choose Shift. The system displays the dialog box Shift yield curves. For the yield curve you wish to "shift", enter the percentage by which it is to be shifted. The effect of the shift is that the zero coupon curve of the scenario is moved by the value you entered. Then the system determines the grid points (reference interest rates) from the shifted yield curve.

Note

The shifts are applied to the reference interest rates. If you choose Shift again, the previous shift will no longer be visible to you. Then you can define a new shift, this, however, again being based on the current market data.

If you want to use current or historical market data as scenario values, choose Import market data and choose the Evaluation type you require (which must already have been defined in Customizing), the validity date of the market data and the price parameters.
Choose Save.