Manage Market Risk Key Figure Sets (AFWKF_SET)

Create a market risk key figure set

1. Choose New Entries.

2. Enter a name and a description for the market risk key figure set.

3. Choose the evaluation currency.

   The evaluation currency is the currency in which the market risk key figures are calculated.

4. Choose the evaluation type. The evaluation type identifies the market and valuation parameters influencing the calculation of the market risk key figures.

5. You can choose a scenario.

   Scenarios are sets of market data. A scenario defines only a subset of selected market data within the current market data. If market data isn’t found within the specified scenario, the system performs valuation using the latest market data available.

   For more information, see also Editing Scenarios.

   If you don’t enter a scenario, the market risk key figures are calculated for current market data with or without a market data shift. This depends on your settings in the Shift Rule column.

6. You can choose a shift rule.

7. Enter a filter if you would like to restrict the selected financial objects.

8. If you want to calculate the value-at-risk key figures (VaR and MEL) in addition to the NPV key figures, you must set the Calculate Value at Risk indicator.

   • If you set this indicator, you cannot choose a market data scenario or a market data shift.

   • If you set this indicator, you must specify the value-at-risk type (which defines the value-at-risk calculation method) and the risk factor set (which defines the relevant risk factors).

9. Choose the relevant value-at-risk type. The VaR type specifies the valuation parameters for value-at-risk calculation in Risk Management. For more information, see also Value at Risk

10. If you selected VaR calculation, you must choose a risk factor set. The risk factor set defines which kinds of risk need to be considered (FX risk and/or interest rate risk) and the specific risk factors relevant for the calculation of value at risk. You also define the risk factor set in this app.

11. Set the Real-Time Update indicator if needed.

    Set this indicator if you want changes to or the creation of new financial transactions, securities positions, or exposure positions that are covered by the market risk key figure set to trigger an automatic adjustment run of the Calculate Market Risk Key Figures report.

    This setting ensures that the query views that calculate the market risk key figures are always based on current data.

Create a risk factor set.

1. Choose New Entries.

2. Enter an ID for the risk factor set.

3. Enter a description for the risk factor set.

4. Choose the relevant risk factor categories. You can choose either one category only or both.

   • FX risk

     If you choose the FX risk, FX spot rates are used as risk factors.

     You must also specify the risk currencies in the risk factor set.

   • Interest rate risk

     If you choose the IR risk, the grid points of the yield curves are used as risk factors. A grid point is identified by the yield curve type, the currency, and the reference interest rate. The yield curves used for discounting as well as the yield curves for the forward calculation are considered. The yield curves for discounting are taken from the evaluation type, while the yield curves for forward calculation are taken from the specific reference interest rates.

     • You must also specify the currencies of the yield curves in the risk factor set. In addition, at the time of calculation, the evaluation currency is also considered when identifying the yield curves for discounting.

     • You must specify the interest rate terms of the grid points in the risk factor set. At the time of calculation, the grid points of the derived yield curves (including the reference interest rate) that match the chosen terms are used as risk factors.

Change a market risk key figure set and/or a risk factor set

Even if market risk key figure values based on this market risk key figure set/risk factor set exist, you can nevertheless change the market risk key figure set/risk factor set. Note that such a change in the calculation parameters can lead to a break within the historical time series of the calculated values, with the result that these values are no longer consistently comparable.

Delete a market risk key figure set

If market risk key figure values based on these market risk key figures exist, you cannot delete the market risk key figure set.