Analysis of VaR evaluations / BANKING Release 4.01
Cause and prerequisites
You would like to know more about the VaR evaluation output and refine the profit and loss output of the historical simulation.
The reports for the VaR and shift analysis have been ported to 4.01: F3.04: RJBRVART, 4.01: RJBRVART401/ F3.04: RJBRVARR, 4.01: RJBRVARR401. For the documentation on these reports refer to Note 122752 which describes the F3.04 reports.
Procedure for using these reports
1. Download file general/R3Server/abap/note.0159760 from SAPSERV3 and import it in your relevant systems. Consider Note 13719 for this.
2. Execute the reports using Transaction SE38 or SA38.
Explicitly enter client 000 for the import since the tools were exported from a client 300 by SAP.