JBRBV2

VaR Simulation Types | #masterdata | Component: Analyzer
Column Name Description
MANDT FK Client
VARART Calculation Type for Value at Risk
Column Name Description
Column Name Description
Column Name Description
Column Name Description
VARTYP VaR Category: Parameterization/Simulation Show values
PSCALCP VaR: Calculation of Positions in Variance/Covariance Show values
DELTAONLY Apply Covariance Approach to Delta Positions Only Show values
SSCALCP VaR: Calculation of Items with Simulation Show values
ALGORITHM Simulation: VaR Method Show values
SAMPTYP Determination Category for Sample Elements Show values
SEED Initial value for random number generator Show values
SIMTYP Value-at-Risk Simulation Category Show values
XVAR Calculate VaR Show values
XGUV Calculate P+L Show values
XROOT Calculate Consolidated VaR Only Show values
Column Name Description Domain name
HISTORY Historical Period NUMC05
UNWIND Holding Period for Value at Risk JBRUNWIND
MISSLIMIT Number of Errors in Historical Data JBRMISSES
KONFIDENZ Confidence Level for Historical Simulation JBRKONFI
SIMLAUF Number of Simulation Runs for Monte Carlo Simulations NUMC05
Master Data Relations Join Conditions
Authorization Group
RM RFC: Destination in SAP Banking RM JBRBV2.DESTINATION == RFCDES.RFCDEST
Factory Calendar JBRBV2.KALENDER == TFACD.IDENT
Client JBRBV2.MANDT == T000.MANDT
Correlation Types
  • JBRBV2.MANDT == ATKO1.MANDT
  • JBRBV2.VKKORART == ATKO1.KORART
Volatility Type
  • JBRBV2.MANDT == ATVO1.MANDT
  • JBRBV2.VKVOLART == ATVO1.VOLART