VaR Report Data Memory 
Use
The report data memory (RDM) enables the generation, saving and archiving of report data from value-at-risk evaluations on the basis of historical simulation or Monte Carlo simulation. In addition to value-at-risk key figures, delta and gamma items, it also contains simulated NPV changes (profit and loss), the distribution of which results in the value-at-risk determination. Generation logs and calculation bases are also saved along with the report data.
You find the functions for the report data memory from the SAP Easy Access screen by choosing Accounting ® Bank Applications ® SEM Banking ® Market Risk Analysis ® Tools ® VaR Report Data Memory.
Integration
To display the logs and the calculation bases, a report with report type value-at-risk (saved result) is called up in drilldown reporting. You must have already assigned the name of this report to the parameter BDS_Report in your user settings. Note that the parameter value is case-sensitive and so must match the report definition exactly.
Features
Menu path |
Function |
Generate report data |
Using this report, report data is generated and stored in the report data memory. The selection parameters for this are the same as those for value-at-risk evaluations.
A run is generated during this time (status “new”). The run status changes from “new” to “in progress” when the system has generated all the report data and has saved this data to the database. When the report is “in progress” the RDM is filled. Finally, the status changes to “completed” or “terminated”. |
Overview of report data |
The report gives
an overview of all the attributes for the selected run number, especially the
status, selection data of the run (
|
Due to the long report run-time,
SAP recommends that you execute this report in background.
) and the value-at-risk type (
). At the same time you can display the logs
(
) and the calculation bases
(
).
Note, however, that when
displaying the value-at-risk type, the system always shows the current
definition and not an historical version of the value-at-risk type from the
date the report data was generated. If in the meantime changes are made to the
value-at-risk type, then differences can occur. The report data that was generated can be archived. Once it has been archived successfully, the data can be deleted.
See also: