SAP ABAP Data Element AFWKFRA_CLEAN (Indicator for Clean Backtesting)

Hierarchy

☛ EA-FINSERV (Software Component) SAP Enterprise Extension Financial Services
   ⤷ FIN-FSCM-TRM-MR (Application Component) Market Risk Analyzer
     ⤷ CFM_AFWKFRA (Package) CFM Risk Analyzer Key Figure Management

Basic Data

Data Element	AFWKFRA_CLEAN
Short Description	Indicator for Clean Backtesting

Data Type

Category of Dictionary Type	D	Domain
Type of Object Referenced		No Information
Domain / Name of Reference Type	JBXFLAG
Data Type	CHAR	Character String
Length	1
Decimal Places	0
Output Length	1
Value Table

Further Characteristics

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Parameter ID
Default Component name
Change document	☐
No Input History	☐
Basic direction is set to LTR	☐
No BIDI Filtering	☐

Field Label

	Length	Field Label
Short	10	Clean
Medium	17	Clean Backtesting
Long	20	Clean Backtesting
Heading	17	Clean Backtesting

Documentation

Definition

This describes the difference between clean and dirty backtesting. Clean backtesting ignores changes to the portfolio mix. This means that the comparison value (in other words, the calculation of the actual value for the same status of the transaction data) is calculated in the same way as the VaR forecast. You do this by using saved datasets. For dirty backtesting, you always use the current transaction data. As a result, when the system compares two periods of time, valuation changes might result. The reason for this might be a changed status of the market data or changes to the portfolio.

Use

This indicator checks whether a saved dataset is being used for clean backtesting when you are creating the key figures (transaction RAEP1 or RAEP2).

Dependencies

Example

History

Last changed by/on	SAP	20040819
SAP Release Created in	500