Show TOC

 TRM, CFaR with Monte Carlo Simulation (Online Report)

 

With this product feature you can calculate the Cash Flow at Risk using various calculation methods for single periods as well as aggregated over all periods with Monte Carlo simulation for generating random walks of spot rates for the risk factors in the online report CFaR Individual Analysis (transaction RMC0) of the Market Risk Analyzer.

In the online report you can get the evaluation parameters for the CFaR calculation from cash flow at risk type defined in the Customizing or from the CFaR key figures defined in the results database.

  • Financial objects are the source for the cash flows:

    • You can capture operational cash flows using Exposure Management 2.0 or using generic transactions.

    • Financial instruments and positions containing fixed cash flows are supported (for example, FX forwards as hedging instruments).

  • You can use maturity bands to flexibly define the granularity of the periods.

  • You can use the risk hierarchies to define the risk factors.

  • You can calculate reference cash flows using market data current at evaluation date.

Note Note

  • The calculation of the CFaR is focused only on the FX risk.

  • Unfixed cash flows referring to a variable reference interest rate or a commodity price and options are not currently supported.

End of the note.

Technical and Other Details

Technical Name of Product Feature

ERP_FIN_TRM_CFAR3

Product feature is

new

Country Dependency

Valid for all countries

Software Component Version

EA-FINSERV

Application Component

FIN-FSCM-TRM-MR

Availability

SAP Enhancement Package 7 (SP05) for SAP ERP 6.0

Required Business Function(s)

FIN_TRM_CFAR

  • The product feature is part of the business function TRM, Cash Flow at Risk (FIN_TRM_CFAR) which is part of SAP enhancement package 7, Support Package 05, for SAP ERP 6.0 (EA-FINSERV 617).

  • See SAP Note Relationship of Licenses and Business Functions (1524246Information published on SAP site) to establish whether you need additional licenses for activating the business function TRM, Cash Flow at Risk (FIN_TRM_CFAR).

Area Menu

New Function

The function CFaR Individual Analysis(transaction RMC0) is available under the following paths:

  • Start of the navigation path Treasury and Risk Management Next navigation step Market Risk Analyzer Next navigation step Information System Next navigation step Cash Flow at Risk End of the navigation path

  • Start of the navigation path Treasury and Risk Management Next navigation step Transaction Manager Next navigation step Information System Next navigation step Risk Settings Next navigation step Risk Analysis Next navigation step Cash Flow at Risk End of the navigation path

  • Start of the navigation path Treasury and Risk Management Next navigation step Financial Risk Management for Commodities Next navigation step Analytics End of the navigation path

Customizing

New Customizing Activity

Under Start of the navigation path Treasury and Risk Management Next navigation step Market Risk Analyzer Next navigation step Cash Flow at Risk End of the navigation path, you find the new Customizing activity Define Cash Flow at Risk Type.

The function Define Cash Flow at Risk Type (transaction S_EIS_72000137) is also available under the following paths in the area menu:

  • Start of the navigation path Treasury and Risk Management Next navigation step Market Risk Analyzer Next navigation step Evaluation Control Next navigation step Valuation Settings End of the navigation path

  • Start of the navigation path Treasury and Risk Management Next navigation step Financial Risk Management for Commodities Next navigation step Analytics Next navigation step Master Data & Evaluation Control Next navigation step Valuation Settings End of the navigation path

System Administration

The existing archiving functionality for single records (archiving object RDBRA_REC) and final results (archiving object RDBRA_FRP) has been adjusted to cover also the CFaR specific data.