SAP ABAP IMG Activity INTEGRIERTE_KZ_AF (Edit Key Figures and Evaluation Procedures)
Hierarchy
☛ EA-FINSERV (Software Component) SAP Enterprise Extension Financial Services
   ⤷ IS-B-RA (Application Component) Risk Analysis
     ⤷ JBRC (Package) Customizing for SAP Banking Risk Management
IMG Activity
ID INTEGRIERTE_KZ_AF Edit Key Figures and Evaluation Procedures  
Transaction Code S_KFM_86000289   (empty) 
Created on 20010430    
Customizing Attributes INTEGRIERTE_KZ_AF   Edit Key Figures and Evaluation Procedures 
Customizing Activity INTEGRIERTE_KZ_AF   Edit Key Figures and Evaluation Procedures 
Document
Document Class SIMG   Hypertext: Object Class - Class to which a document belongs.
Document Name INTEGRIERTE_KZ_AF    

Use

In this IMG activity, you create the key figures, the procedure for single records, and the procedure for final results for calculating results, and placing those results in the result database.

When you create key figures, you do so in relation to a predefined key figure category.

In business terms, the key figures are all interrelated, so that not all key figures can be assigned to the procedures for single records and final results. For more information about the interdependency of key figures, see the section under Market Risk Analysis -> Information System -> Evaluations using the Result Database in the SAP Library.

You can use the following key figure categories:

  • Basic key figure (abstract)

    The basic key figure category refers to an evaluation type, and to the price parameters stored there for calculating the NPV. All other key figures are linked to this basic key figure category.

  • NPV key figures (Market Risk Analyzer)

    Key figures that can be calculated in both the procedure for single records, and the procedure for final results:

    • General NPV
    • NPV with market data shifts
    • Exposure
    • Fisher-Weil duration
    • Convexity
    • Sensitivity per basis point (price value of basis point)
    • Macaulay duration
    • Clean price

      Key figures that can be calculated in the procedure for single records only:

    • Symmetrical interest rate shifts
  • Value-at-risk key figures (Market Risk Analyzer)

    Key figures that can be calculated in both the procedure for single records, and the procedure for final results:

    • NPV for VaR
    • Risk factor items
    • Profit and loss distribution
    • Backtesting for profit and loss

Key figures that can be calculated in the procedure for final results only:

  • VaR from simulation
  • VaR as per the variance/covariance approach

    All key figures for value-at-risk contain information about the calculation of the VaR (in the same way as for the VaR type in the drilldown). For the backtesting for profit and loss key figure, certain parameters already contain values (historical simulation is set to complete evaluation, the holding period is one day, the element category is absolute, and the evaluation date is the selection date of the saved data set).

  • Position and yield key figures (Portfolio Analyzer)
    • Position in position currency
    • Flow in transaction currency
    • Yield from position currency
    • Yield from position currency for period-to-date
    • Flow in calculation currency
    • Position in calculation currency
    • Yield from calculation currency
    • Yield from calculation currency for period-to-date

Requirements

You must have already defined the filters, views, portfolio hierarchies, and evaluation types you require.

Notes on transporting data

Key figures and evaluation procedures are not transported automatically from the test system to the productive system. If you want to transport them, choose Tools -> Transport Objects. On the tab pages, choose the key figures and evaluation procedures required. If you want to choose more than one option, you can do so by pressing the control key or the shift key on your key board while using the mouse to select the key figures or evaluations. You can select only current key figures and evaluation procedures. You cannot choose any historical versions. Choose Transport Selected Objects.

Versioning

Versions of key figures and their assignments to evaluation procedures can be created based on dates.

The Valid From field is used for this purpose. If you do not specify the date from which the key figures and their assignments are valid, then the system takes the most recent date possible. In other words, if no evaluation has been run, then the date of the latest version is used. If an evaluation has already run, then the system takes the date of the run + 1 day. If this is not required, you can choose a later date.

A new version is created when a value has changed in at least one field in the attributes part of the key figure or of the valuation procedures. Exceptions: the fields Name and Entered By/Changed By. The system saves the previous version automatically as an historical version.

The criterion for versioning is the day (including the Valid From field). Changes made on day x lead to the creation of a new version. The new version applies from date x, which means that if the program reads the data on date x, then it reads the versioned (old) attributes.

Activities

Initial screen for processing key figures and evaluation procedures:

In the initial screen Key Figures and Evaluation Procedures, by setting one of the radio buttons you define whether you want to process a key figure, a procedure for single records, or a procedure for final results.

You have the following options:

  • Create

    Enter a key for a key figure, a procedure for single records, or a procedure for final results. If you do not enter a date, the system takes today's date as the default value. If you are creating a key figure, choose a key figure category from the dialog box.

    Choose Create.

  • Delete

    Choose a key figure, and a procedure for single records, or a procedure for final results.

    Choose Delete (all versions) or Delete Latest Version Only.

    You can delete only those key figures that have not yet been used in an analysis. Once values exist, it is no longer possible to delete the version. You can delete evaluation procedures only if no update runs have been carried out for them. If you want to delete a procedure for single records, you must first delete the corresponding procedure for final results.

  • Display and change

    Choose an existing key figure, procedure for single records, or procedure for final results, and then choose Display or Create.

    You display historical versions, plus the evaluation procedures assigned to key figures, and vice versa.

The system displays the Key Figures and Evaluation Procedures screen.

This screen is divided into the following areas:

  • Top left: Current key figure hierarchy
    Shows all current key figures, and the procedures for single records and final results that were assigned
  • Bottom left: Hierarchy of the key figure categories
    Shows how the key figure categories are interrelated in terms of the calculations applied to them.
  • Right-hand side: Attributes of the key figures
    At the top, the attributes of all the relevant basic key figures are shown. At the bottom are the attributes of the current key figure.

Creating and editing key figures:

You have the following options for creating key figures:

  • In the hierarchy of the key figure categories
    • If you have selected a key figure in the key figure hierarchy proceed as follows:
      • From the hierarchy of the key figure categories, choose the key figure category required (by double clicking or by using Drag & Drop). The system inserts a key figure of the category you specified underneath the selected key figure.
    • If you have not selected a key figure in the key figure hierarchy proceed as follows:
      • From the hierarchy of the key figure categories, choose the key figure category you require (by double clicking). The system creates a new key figure hierarchy, and the category you chose is in the lowest level of the hierarchy.
  • By means of the context menu in the key figure hierarchy, or in the hierarchy for key figure categories

On the right-hand side of the screen, create the attributes of the new key figures, starting at the bottom and working up to the level of the basic key figure.

You define the evaluation type, which is to be used to calculate the key figures, when you define the basic key figure. If you want to use different evaluation types for your key figures, then you have to define a basic key figure for each evaluation type.

Assigning evaluation procedures:

To define procedures for single records, and procedures for final results, do the following:

  1. If you have just edited key figures, choose the Maintain and Assign Valuation Procedure pushbutton.
  2. In the right-hand side of the screen, specify the procedure for single records, and enter a description for the assignment.

    Note: If you already entered a procedure for single records in the selection screen, then the system displays its technical name here.

  3. Assign a filter and a view to the procedure for single records. You can assign only filters of the category Dynamic Selections or Filter Group.
  4. Specify the procedure for final results, and enter a description for the assignment.
  5. Assign one or more portfolio hierarchies and a procedure for single records to each procedure for final results.
Business Attributes
ASAP Roadmap ID 105   Define functions and processes 
Mandatory / Optional 1   Mandatory activity 
Critical / Non-Critical 2   Non-critical 
Country-Dependency A   Valid for all countries 
Assigned Application Components
Documentation Object Class Documentation Object Name Current line number Application Component Application Component Name
SIMG INTEGRIERTE_KZ_AF 0 I070004703 O  
SIMG INTEGRIERTE_KZ_AF 1 KFM0000015 O  
SIMG INTEGRIERTE_KZ_AF 2 KFM0000014 Portfolio Analyzer 
Maintenance Objects
Maintenance object type C   Customizing Object 
Assigned objects
Customizing Object Object Type Transaction Code Sub-object Do not Summarize Skip Subset Dialog Box Description for multiple selections
AFWKF_RA T - Individual transaction object AFWKF_RA  
History
Last changed by/on SAP  20040225 
SAP Release Created in 463_20