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
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.
Technical Name of Product Feature |
|
---|---|
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) |
|
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
(1524246) to establish whether you need additional licenses for activating the business function TRM, Cash Flow at Risk
(FIN_TRM_CFAR
).
New Function
The function CFaR Individual Analysis(transaction RMC0
) is available under the following paths:
New Customizing Activity
Under Define Cash Flow at Risk Type.
, you find the new Customizing activityThe function Define Cash Flow at Risk Type
(transaction S_EIS_72000137
) is also available under the following paths in the area menu:
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.