SAP ABAP Data Element JBRVARMETH (Historical simulation: VaR method)
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 | JBRVARMETH |
| Short Description | Historical simulation: VaR method |
Data Type
| Category of Dictionary Type | D | Domain |
| Type of Object Referenced | No Information | |
| Domain / Name of Reference Type | JBRVARMETH | |
| Data Type | CHAR | Character String |
| 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 | HS-VaR mth |
| Medium | 20 | Hist.sim.-VaR method |
| Long | 40 | Historical simulation - VaR method |
| Heading | 10 | HS-VaR mth |
Documentation
Definition
Value at Risk (VAR) Calculation Method
Depending on the input of the user, VAR is calculated in several different ways:
1: VAR determination from profit and loss
2: VAR determination from absolute profit and loss
3: VAR determination from normal distribution
4: VAR determination from absolute profit and loss with double the values
The values are stored as fixed values and can thus be called up with F4. The selected VAR calculation method can also be called up in reporting.
History
| Last changed by/on | SAP | 20011002 |
| SAP Release Created in |
