Market Risk Analyzer
Organization in Risk Analysis
Information System
NPV Analysis
Documentation not Available in Release R/3 Enterprise 1.10
Single Value Analysis – Executing NPV Analysis
Documentation not Available in Release R/3 Enterprise 1.10
Sensitivity Key Figures
Executing a Sensitivity Analysis
Executing Grid Analysis
Value at Risk
Historical Simulation: Theoretical Background
Historical Simulation
Structured Monte Carlo
Generation of Random Numbers
Strata-Gems Procedure
Baum Procedure
Box-Muller Procedure
User-Defined Procedures
Cholesky Distribution
Variance/Covariance Approach: Theoretical Background
Variance/Covariance Approach
Single Value Analysis – Executing a VaR Analysis
Risk Factor Mapping
GAP Analysis/Simulation
Executing Reports in Market Risk Analysis
Information about Saving Report Data
Evaluation Control
Portfoliohierarchie
Editing Portfolio Hierarchies
Maturity Band
Editing the Maturity Band
Mapping Stocks to an Index
Price Parameters
Interest Rate Tables
Generation of the Yield Curve
Interpolation
Extrapolation Methods when Continuous Compounding is Active
Zero Bond Discounting Factors{}
Forward Rates
Evaluation of Yield Curves
Automatic Buffering of Yield Curve Values
Volatilities
Scenario
Editing a Scenario
Market Data Shift
Creating Market Data Shifts
Documentation not Available in Release R/3 Enterprise 1.10
Risk hierarchy
Editing Risk Hierarchies
Risk Objects
Transaction Form of an Elementary Category
References to Other Transactions
Characteristic Cash Flows from Cash Flow Transactions
Forex Options
Caps, Floors, Collars
Loans with Right of Notice
Hit-At-The-End and One-Touch Binary Options
Convertible Bonds
Fictitious Transactions
EONIA Swap
Editing Risk Objects
Technical Depiction of Risk Object Structure
Editing Characteristic Values
Characteristics Hierarchy
Editing the Characteristics Hierarchy
Transporting a Characteristics Hierarchy
Translating a Characteristics Hierarchy
Editing Characteristic Derivations
Documentation not Available in Release R/3 Enterprise 1.10
Calculating Volatilities and Correlations
Displaying Financial Objects
Displaying Transactions
Backtesting
Executing Backtesting
VaR Report Data Memory
Parallel Processing Control