SAP ABAP Data Element JBRKONFI (Confidence Level for Historical Simulation)
Hierarchy
☛
EA-FINSERV (Software Component) SAP Enterprise Extension Financial Services
⤷
FIN-FSCM-TRM-MR (Application Component) Market Risk Analyzer
⤷
FTB (Package) Applic. development R/3 Treasury risk simulation analysis
EA-FINSERV (Software Component) SAP Enterprise Extension Financial Services⤷
FIN-FSCM-TRM-MR (Application Component) Market Risk Analyzer⤷
FTB (Package) Applic. development R/3 Treasury risk simulation analysis
Basic Data
| Data Element | JBRKONFI |
| Short Description | Confidence Level for Historical Simulation |
Data Type
| Category of Dictionary Type | D | Domain |
| Type of Object Referenced | No Information | |
| Domain / Name of Reference Type | JBRKONFI | |
| Data Type | DEC | Counter or amount field with comma and sign |
| Length | 10 | |
| Decimal Places | 7 | |
| Output Length | 11 | |
| 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 | Conf.Level |
| Medium | 20 | Confidence Level |
| Long | 40 | Confidence Level |
| Heading | 10 | Conf.Level |
Documentation
Definition
The confidence level represents the probability that a particular currency won't fall below a certain level within the holding period (the period of time up to sale or securing of a position).
A confidence level represents a base factor in the VAR analysis in the historical simulation in Risk Management.
Entries are made as percentages.
Example:
If you had 200 historical values and set the confidence level to 95%, you would get the eleven worst values.
( 200 * 0.05 ) + 1 = 11.
History
| Last changed by/on | SAP | 20011002 |
| SAP Release Created in |
