Creating Market Data Shifts 

Note that shifting factors can also result in invalid parameter values (negative time deposit rates, for example). Make sure you carefully check the plausibility of your shifts.

Procedure

  1. Choose Financial accounting ® Treasury ® Market risk ® Master data ® Market data shifts . This brings you to the initial screen Market data shifts: Maintain.
  2. Enter a 10-digit (maximum) numerical value for the market data shift and choose Create. This brings you to the screen Market data shifts: Definition.
  3. Enter a short and a long description.
  4. If you wish to specify an additional authorization check for the individual market data shift, assign an authorization group to this market data shift. You define the authorization group in Customizing of Treasury by choosing Market risk management ® Authorization administration ® Maintain authorization group.
  5. To create a risk factor shift, choose Create RF shift.

    6. This brings you to a dialog box in which you specify the risk category and the shift category. Choose Continue. This brings you to a new dialog box. Enter a shift description and in the field risk factor shift the amount of the shift (positive values only). Depending on the risk category chosen, also enter the following specifications or restrictions:

    Risk category

    Specifications or restrictions

    Forex rate

    Enter a target currency. If you do not enter a starting currency, the system assigns the respective transaction currency valid at the time of the run.

    Yield curve

    When you choose Selection, if you decide upon All yield curves per currency, Shift one yield curve or Shift reference interest rate, choose Reference object. Under Reference object, enter the required data in the fields that are now ready for input.

    Security index

    When you choose Selection, if you decide upon Shift one security index, enter this index.

    Security class

    When you choose Selection, if you decide upon Shift one security rate, enter a security class.

    Volatility

    When you choose Selection, if you decide upon Shift one volatility type or Shift one volatility, choose Reference object. Under Reference object, enter the required data in the fields that are now ready for input.

    Choose .

    The system distinguishes between the individual risk factor shifts by means of a rule index. This is designed as consecutive numbers. To renumber the risk factor shifts (after the repeated deletion of risk factor shifts, for example), you can choose Edit ® Reorg. RF shifts. The risk factors shifts are then renumbered consecutively by the system.

    To change the details on the risk factor shifts, choose Change RF shift.

  6. Choose .