Using Reports in Market Risk Analysis 

Prerequisites

You need to have defined a relevant form and a report for a particular report type. You can obtain details about the report types available from the information system.

Procedure

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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.

The system displays the dialog box Specify report type.

      2.      Select the report type you require, and choose a report. Choose  Execute to access the selection screen of the report.

Enter values for the selection parameters. The type of the report and the default values in the relevant form govern which selection parameters you need to enter values for.

 

For value-at-risk evaluations, it is important that the risk hierarchy and the evaluation type match. An interest rate risk can only be displayed if the yield curve type of the evaluation type is the same as that of the risk hierarchy.

      3.      Specify theoutput type.

      4.      Choose  Execute.

Result

The key figures (depending on the report type) are calculated and displayed.

For value-at-risk evaluations (non-additive key figures), you need to keep to a particular navigation sequence to ensure that the results displayed are meaningful.

1.      Navigate from the portfolio hierarchy display to the risk hierarchy.

2.      In historical simulation and Monte Carlo simulation, branch to profit and loss distribution by using the report/report interface.

3.      First navigate to the risk hierarchy.

4.      Then navigate to the number of the historical day.

 

When you leave the report you can save the results. This means that if you start the report again with the same selection parameters, the key figures are not recalculated. Instead, the saved report data is displayed.

If you do want to recalculate the key figures for the same selection parameters (which may be the case if there have since been changes to the transaction data or the Customizing settings) you need to choose Extras ® New Selection in the initial screen for starting the report.