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Procedure documentationUsing Sensitivity Analysis Locate the document in its SAP Library structure

You can use sensitivity analysis to analyze portfolios while making systematic changes to market parameters. This enables you to identify how sensitive selected portfolio values are to changes in various influencing factors, such as the exchange rate or the yield curve.

Procedure

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      1.      In the SAP Easy Access screen, choose Accounting ® Bank Applications ® SEM Banking ® Market Risk Analysis ® Information System ® Sensitivity Analysis.

      2.      In the Selection of Transactions data group, specify the base portfolios you want to analyze:

                        a.     Choose a View.

                        b.     Choose a Portfolio Hierarchy.

                        c.     You can define that the system selects only those transactions on a particular Portfolio Hierarchy Node.

      3.      Enter the evaluation parameters:

                        a.     Choose an Evaluation Type.

                        b.     Choose an Evaluation Currency.

                        c.     Choose an Evaluation Date.

                        d.     Specify the Horizon.

 

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                        e.     If required, enter one or more Scenarios.

Enter the market price changes by selecting the factors whose values you want to adjust.

You can choose from the following factors:

§       Yield curves (all; all for a particular currency; a particular yield curve; relative shift, or absolute shift)

§       Currencies (all currency pairs, all exchange rate pairs for a target currency, a particular currency pair)

§       Securities (all, one class)

§       Indexes (all; a particular index)

§       Volatilities (all; one in all terms; one particular volatility)

Specify how much each factor is to shift in percentage.

      4.      Choose This graphic is explained in the accompanying text Execute.

Result

The NPV (current NPV) is calculated for every portfolio hierarchy node, either based on the market data or on the specified scenarios. The changed NPV based on the market price changes  (Sim. NPV) and the absolute difference from both values are shown as profit/loss.

 

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