Single Value Analysis – Using VaR Analysis 

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      1.      In the SAP Easy Access screen, choose Accounting ® Bank Applications ® SEM Banking ® Market Risk Analysis ® Information System ® Single Value Analyses ® VaR Individual Analysis.

      2.      Specify under Eval. parameters the VaR type, the Evaluation type, the Evaluation date, the Risk hierarchy and if required a Risk hierarchy node.

To display the risks within 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.      You define the selection of historic market data by defining the Start of history.

Using the market data from the day in the historical period which is furthest back in the past to the Start of history, the system determines the market price changes as base values for the historical simulation and the variance/covariance approach

      4.      Choose the Display currency and select the flag, if you need a detailed log.

      5.      Enter the selection criteria for the financial transactions on the tab page Gen. data select. You can select transactions right down to the single transaction level. Note the following special considerations when selecting transactions. You can also use the buttons Only Actual, Only Simulated, Insert Actual and All as input help. The fields Position Number and Number of Simulation Run are then filled in accordance with your selection.

      6.      Restrict the transactions additionally by choosing characteristic values on the tab page Characteristics.

      7.      Choose  Execute.

Result

You receive a list of all selected transactions containing an overview of the value-at-risk, the current net present value, the delta and the gamma per transaction. After selecting a transaction you have the option of carrying out the following actions:

Pushbutton	Description
Single Transaction	You navigate to the master data of the transaction.
Detail Log	You navigate to the detail log for net present value calculation.
Risk Hierarchy Node	This takes you to the risk hierarchy display. By choosing a node you will get back to the result list. This will only show the transactions and the value-at-risk key figures for the selected part of the risk hierarchy. If you want to come back to the original list, choose Node risk hier. again and select the highest node of the risk hierarchy.
P/L Distribution	On the left side of the screen you see the profits and losses distributed over the historic period. On the right side of the screen these values are sorted by amount and the frequency distribution is shown graphically. For comparison, a normal distribution with an expected value of 0 and the standard deviation of the profits/losses is shown with the frequency distribution.