SAP ABAP Data Element JBRBVARSIMTYP (Value-at-Risk Simulation Category)
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
Basic Data
Data Element JBRBVARSIMTYP
Short Description Value-at-Risk Simulation Category  
Data Type
Category of Dictionary Type D   Domain
Type of Object Referenced     No Information
Domain / Name of Reference Type JBRBVARSIMTYP    
Data Type NUMC   Character string with only digits 
Length 2    
Decimal Places 0    
Output Length 2    
Value Table      
Further Characteristics
Search Help: Name    
Search Help: Parameters    
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 VaR SimCat 
Medium 18 VaR Simulation Cat 
Long 20 VaR Simulation Cat. 
Heading 28 VaR Simulation Category 
Documentation

Definition

The VaR simulation category controls the method used to generate the profit and loss distribution.

The following simulation categories are available:

  • 00 Historical simulation
  • 01 Structurized Monte Carlo with Box Muller algorithm for generating
    normally distributed random variables
  • 02 Structurized Monte Carlo with tree algorithm for generating
    normally distributed random variables
  • 03 Structurized Monte Carlo with Strata Gems algorithm for generating
    normally distributed random variables
  • 50 Structurized Monte Carlo with user-defined algorithm for generating
    normally distributed random variables
  • 51 Structurized Monte Carlo fully - user-defined
  • 52 Monte Carlo bootstrapping - user-defined
  • 53 Structurized bootstrapping - user-defined

Categories 00-03 are based on SAP functions for determining the portfolio value distribution. Categories 50 - 53 allow user-defined functions to be implemented. These can take effect at certain phases of the distribution calculation: in the case of category 50, this involves the determination of normally distributed random variables based on which Monte Carlo simulations can be carried out.

History
Last changed by/on SAP  20011002 
SAP Release Created in