Detail Log 

Definition

Detailed information about the valuations in Market Risk Analysis or in the price calculator.

Use

You can use the detail log to see how the system calculated figures in the valuations in Market Risk Analysis and in the price calculator. During the valuation process, the system writes the most important information about the processing steps to the detail log. When the valuation has finished, you can call the detail log from within the reporting function, such as that for the value-at-risk analysis.

You can then print the detail log for documentation purposes, and save the log as a file outside of the SAP system.

Structure

The detail log is a list in which the system records data relating to a valuation. Each section has a title.

The following tables explain each section of the detail log. Some sections can appear in the log more than once, whereas others may not be shown at all.

·       Market Data

This section contains the yield curve type, the exchange rate, and the security used in the valuation.

·       Summary of Results from the Price Calculator: NPV

This area contains the results from each price calculator process. The results are the same as the detailed results that are usually shown higher up in the detail log.

¡      Historical Simulation

The system calculates NPVs using the delta procedure; there is no complete evaluation.

¡      Covariance Method using Deltas:

The system calls the price calculator with shift rules. The shift rules define which market data the price calculator is to use during the valuation process. The shift rules are interpreted on the basis of the shift rule category. The shift rules themselves contain the following parameters:

Parameter	Comment
Shift rule category	The shift rule category can have the following values: ·       No shift rules (00) ·       Sensitivity rules (01) ·       Grid rules (02) ·       Rules for historical simulation - complete evaluation (03) ·       Rules for historical simulation - delta approach (04) ·       Rules for variance/covariance – delta positions (05) ·       Rules for historical simulation – delta-gamma approach (06) ·       Rules for variance/covariance – delta-gamma (07) ·       Combination method (generic rule) (09) ·       External rules (99)
Risk factor	The system displays the ID of the risk factor from the risk hierarchy. The system reads the short name from the risk hierarchy for the relevant node.
Shift index	The meaning of the shift index depends upon the shift rule category: ·       Covariance method: Upshift (00000) or downshift (99999) ·       Historical simulation: Number of the simulation

 

 

·       Value-at-Risk Calculation: Delta-Gamma Positions

In this section, the system displays the delta-gamma positions, and the parameters that it used to calculate them.

In the historical simulation, this area is used to display the sensitivities only.

Parameter	Comment
PV (upshift)	NPV with upward shift
PV (downshift)	NPV with downward shift
Delta	Delta position normed to a shift of 1 (sensitivity):
Gamma	Gamma position normed to a shift of 1
Shift	Absolute shift that results when the standard shift of 0.01 is applied to the current rate.

 

·       Value-at-Risk Calculation: Calculation of Delta Positions for Each Transaction

In this section, the system displays the changes in the NPV, and the parameters that it used to calculate them.

Parameter	Comment
Normed delta position	Sensitivity for a shift of 1 (see the Delta parameter in the Value-at-Risk Calculation: Delta-Gamma Positions section).
Shift	The shift reflects the volatility values from the market data, which were adjusted accordingly: ·       Adjustment to the number of business days: ·       Adjustment to the scaling factor: ·       Norming for absolute shifts: ·       Calculation of the additive shift: The shift represents the shift in the generated market data.
Change in the NPV

 

·       Value-at-Risk Calculation: Aggregation for the Value-at-Risk Value using the Correlated Method

In this section the system displays the aggregation of the results for the value-at-risk value. The risk hierarchy describes how the values are calculated.

 

·       Value-at-Risk Calculation: Adjustment of Delta-Gamma Positions

In this section, the log shows how the delta and gamma positions were normalized to an absolute shift. This step takes place for relative and logarithmic shifts only. The system uses the following formula:

 

·       Correlations: Correlations Used

In this area the system displays the risk factors and correlations for all the transactions that were valued.

 

·       Value-at-Risk Calculation: Distribution Moments

In this area the system displays the values of the four moments for each risk factor and risk hierarchy. The system uses the correlations between the risk factors to calculate the moments.

 

·       Value-at-Risk Calculation: Value-at-Risk Values

In this section the system displays the value-at-risk value for each transaction and risk factor. The system uses the Cornish-Fischer formula to calculate these values.

Below this, the log contains the value-at-risk values for each hierarchy node. In the individual analysis, the original value-at-risk values are retained, but in the portfolio approach, they are changed when they are aggregated.

 

·       Value-at-Risk Calculation: Historical Simulation using the Method in which the Value at Risk is Calculated from Absolute Profits and Losses

In the historical simulation, the system calculates the value at risk by finding the relevant part of the change in the NPV. To show how this was done, the log contains the length of the history, and the entry from the list of losses (sorted in descending order) that it took as the value at risk.