| MANDT |
✔ |
Client |
MANDT |
CLNT |
3 |
T000 |
| VARART |
✔ |
Calculation Type for Value at Risk |
JBRVARART |
CHAR |
3 |
|
| VARTYP |
|
VaR Category: Parameterization/Simulation |
JBRVARTYP |
CHAR |
1 |
|
| AUTGR |
|
Authorization Group |
TV_AUTGR |
CHAR |
4 |
VTVAUTGR |
| PSCALCP |
|
VaR: Calculation of Items in Variance/Covariance |
JBRPSCALCP |
NUMC |
2 |
|
| VKVOLART |
|
Volatility Type |
TB_VOLART |
CHAR |
3 |
ATVO1 |
| VKKORART |
|
Correlation Types |
TV_KORART |
CHAR |
3 |
ATKO1 |
| SSCALCP |
|
VaR: Calculation of Items with Simulation |
JBRSSCALCP |
NUMC |
2 |
|
| HISTORY |
|
Historical Period |
JBRHISZTRM |
NUMC |
5 |
|
| UNWIND |
|
Retention period for historical simulation in RM |
JBRUNWIND |
INT2 |
5 |
|
| KALENDER |
|
Factory Calendar |
WFCID |
CHAR |
2 |
TFACD |
| MISSLIMIT |
|
Number of Errors in Historical Data |
JBRMISSES |
INT2 |
5 |
|
| KONFIDENZ |
|
Confidence Level for Historical Simulation |
JBRKONFI |
DEC |
10 |
|
| ALGORITHM |
|
Historical simulation: VaR method |
JBRVARMETH |
CHAR |
2 |
|
| SAMPTYP |
|
Determination Category for Sample Elements |
TV_STYP |
NUMC |
2 |
|
| SEED |
|
Initial value for random number generator |
QFRAN_SEED |
DEC |
10 |
|
| SIMTYP |
|
Value-at-Risk Simulation Category |
JBRBVARSIMTYP |
NUMC |
2 |
|
| SIMLAUF |
|
Number of Simulation Runs for Monte Carlo Simulations |
JBRSIMLAUF |
NUMC |
5 |
|
| DESTINATION |
|
RM RFC: Destination in SAP Banking RM |
TV_RFCDEST |
CHAR |
32 |
RFCDES |
| FUNCTION |
|
RM RFC: Function Name in SAP Banking RM |
TV_RFCFNAME |
CHAR |
30 |
TFDIR |
| XVAR |
|
Calculate VaR |
JBXVAR |
CHAR |
1 |
|
| XGUV |
|
Calculate P+L |
JBXGUV |
CHAR |
1 |
|
| XROOT |
|
Calculate Consolidated VaR Only |
JBXROOT |
CHAR |
1 |
|