SAP ABAP IMG Activity SIMG_JBVBV2 (Define Value-at-Risk Type)
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 SIMG_JBVBV2 Define Value-at-Risk Type  
Transaction Code S_KK4_13000201   IMG Activity: SIMG_JBVBV2 
Created on 19990830    
Customizing Attributes SIMG_JBVBV2   Define Value-at-Risk Type 
Customizing Activity SIMG_JBVBV2   Define Value-at-Risk Type 
Document
Document Class SIMG   Hypertext: Object Class - Class to which a document belongs.
Document Name SIMG_JBVBV2    

In this step you define the value-at-risk type. The value-at-risk type is used to store important information for the reports used to calculate the value at risk. This includes the following information:

  • Value-at-risk category
  • Volatility type
  • Correlation type
  • VaR simulation category
  • Historical period
  • Retention period etc.
  • Starting value (of the random number generator for all Monte Carlo simulations)

    If you do not enter a starting value, or enter the starting value 0, the system generates a new starting value to be used in the Monte Carlo simulation. This value used in the simulation is displayed as information in the error log of the Monte Carlo simulation.

  • RFC destination for external random number generators

Activities

  1. Choose New entries.
  2. Define a value-at-risk type together with the relevant parameter settings.
  3. Choose Save.

Business Attributes
ASAP Roadmap ID 204   Establish 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 SIMG_JBVBV2 0 I510000051 O  
SIMG SIMG_JBVBV2 1 KFM0000017 O KFM0000015  
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
JBVBV2 V - View SM30 0000000000 Define Value-at-Risk Type 
History
Last changed by/on SAP  20030516 
SAP Release Created in