Support for Backtesting (Drilldown Reporting) 

The system contains the following functions that you can use for your own backtesting tools:

·       Analyze Saved Datasets

All market data changes are taken into account to verify the VAR (including the market data that is not defined in the corresponding risk hierarchy). This procedure implicitly assumes that the market data remains constant.

·       Backtesting Report Type in Drilldown Reporting

1-day historical shifts, which correspond precisely to the difference in the market data between t(0) and t(1), are formed, and a full evaluation is executed. The profit or loss determined represents the backtesting difference. Results are displayed using the risk hierarchy.

Procedure

Analyze Saved Datasets

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      1.      In the SAP Easy Access screen, choose Accounting ® Bank Applications ® SEM Banking ® Market Risk Analysis ® Tools ® Additional Functions for Backtesting ® Evaluate Dataset.

      2.      Specify the saved dataset, evaluation type, currency, and the evaluation date.

The settings of the saved dataset are used only in NPV analysis.

Backtesting Report Type

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      1.      In the SAP Easy Access screen, choose Accounting ® Bank Applications ® SEM Banking ® Market Risk Analysis ® Tools ® Drilldown Reporting ® Report ® Execute.

      2.      Select the report type Backtesting and execute a report.

The backtesting NPVs are displayed using the risk hierarchy.