SAP TRM模块中，除了针对金融产品的全生命周期管理子模块，最重要的就是风险分析模块，包括了 Credit Risk Analyzer投资风险分析，Portfolio Analyzer 投资组合收益分析，Market Risk Analyzer市场风险分析的实现三大分析方法功能。
其中投资组合收益分析在之前介绍收益分析方法和指标种涉及了些，后面有机会在介绍，这里主要讲下较为简单明了的投资风险分析。
投资风险分析，其实说类似与SAP销售的Credit Management信用管理，销售时候，如果客户信用不佳，回款记录不好，给的购买额度就少，不能买太多。投资风险分析类似，但是更为灵活，你可以设置多种不同特性的组合，在给这些组合对应属性和投资允许金额上限。比如定义某个银行客户和定期这个金融产品，当在这个银行已经存了太多定期了，再存的时候就会提示风险报警。
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Limit Type: 就是刚刚说道特性组合，可以自己后台配置，像后面截图就是公司代码、客户信息，和投资组合这一组。
你还可以注意到，有些Limit Type是 only Asset， 有些是Asset/Liability， 这个是如果only Asset就是只计算你对这个组合投资，如果是Asset/Liability, 就是考虑他对你的投资，比如借款，如果有就扣减对投资金额消耗。
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投资金额计算，这个是Credit Risk Analyzer一个复杂点。
如果像定期这样简单资产，直接用合同账面价值扣减投资允许金额；但是如果是远期外汇交易，远期利率，利率掉期，外汇期权这些衍生品，就要按照市场公允价值，或者采用模型去计算，取NPV；还有类似债券，股票，基金这些有市场价格的，就要每天按照市场价格重新计算。所以，这个投资额度消耗需要每天更新，可能今天没有发生一笔交易，但是由于市场上利率变动，股价变动，会导致消耗金额发生很大变化。
你可以系统中设定针对每种金融产品的投资金额计算方式，其中一般现金市场上利率????????金融产品按照合同约定价值；外汇衍生品，利率衍生品，可以按照模型（如B-S, 二叉树），和当前市场利率汇率等价格，计算出现在NPV价值计算；股票，债券可以按照每日市场价格计算。
你也可以资金定义公式计算。附表是一些系统计算方式参考。
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一些其他属性
STC（Single Transaction Check）: 每个新产品的相关事物发生，都会进行对应的检查，由于存在上文提到的日结要求，所以这个只是根据昨天日结的情况 的分析。所以报表有有状态1，和2区分。
Probability of Default：这边对于金融资产NPV的评估通常是采用标准的interest rate yield，没有考虑客户违约风险，如果考虑到客户违约风险，将会对买入金融额度进行一定折扣。
是否考虑CVA/DVA, Basis Spread。通常在Credit Risk Analyzer，没有考虑使用这两个。直接按照无风险利率曲线计算NPV。
附表：Credit Risk Analyzer中对不同金融产品的计价方式的计算
The system calculates the NPV of a transaction in the following way:
| Transaction Form | Net Present Value |
| Loans, money market transactions | Net present value of incoming cash flows |
| Generic transactions | Net present value according to the selected transaction |
| All other transactions | Current net present value |
The system calculates the nominal amount of a transaction in the following way:
| Transaction Form | Nominal Amount |
| Stocks | Net present value of the stock item |
| Index-based transactions | Value of the index item |
| Forward exchange transactions | Nominal amount of incoming cash flows in transaction currency |
| Interest instruments, loans | The amount outstanding on the evaluation date |
| Swaps with principal swap | Amount of the highest occurring nominal amount after the evaluation date in transaction currency |
| Swaps without principal swap | Current, decisive nominal amount of the swap |
| FRA | Nominal volume |
| Caps/floors | Nominal volumes of the current caplets/floorlets |
| Stock options | Net present value of the stock item |
| Index options | Value of the index item |
| Options on forward exchange transactions | Nominal amount of incoming cash flows in transaction currency |
| Options on interest instruments | Nominal amount of the interest instruments |
| Options on swaps | Current nominal amount of the swap |
| Warrants | Same as for options (subscription ratio is also taken into account) |
| Generic transactions | Net present value according to the selected transaction |
The system calculates the advance payment amount of a transaction in the following way:
| Transaction Form | Advance Payment Amount |
| Foreign exchange spot and forward transactions | Nominal amount of outgoing cash flows in transaction currency |
| Securities forward transactions | Purchases – agreed purchase price, sales – NPV of the security item that is to be delivered |
| Swaps | The amount of the outgoing cash flow due after the current evaluation date |
The system calculates the return payment amount of a transaction in the following way:
| Transaction Form | Return Payment Amount |
| Foreign exchange spot and forward transactions | Nominal amount of incoming cash flows in transaction currency |
| Securities forward transactions | Sales – agreed purchase price, purchases – NPV of the security item that is to be delivered |
| Swaps | The amount of the incoming cash flow due after the current evaluation date |
| Money market transactions | Nominal amount + last incoming cash flow |
| Loans | Nominal amount |
The net present value and the nominal amount based on the external commitments of a transaction are calculated as follows:
| Transaction Form | Net Present Value and Nominal Amount Based on External Commitment |
| Loans | Commitment capital |
| Variable transactions (not relevant in the TRM component), BCA accounts | External commitment |
The system calculates the NPV of a transaction in the following way:
| Transaction Form | Net Present Value |
| Loans, money market transactions | Net present value of incoming cash flows |
| Generic transactions | Net present value according to the selected transaction |
| All other transactions | Current net present value |
The system calculates the nominal amount of a transaction in the following way:
| Transaction Form | Nominal Amount |
| Stocks | Net present value of the stock item |
| Index-based transactions | Value of the index item |
| Forward exchange transactions | Nominal amount of incoming cash flows in transaction currency |
| Interest instruments, loans | The amount outstanding on the evaluation date |
| Swaps with principal swap | Amount of the highest occurring nominal amount after the evaluation date in transaction currency |
| Swaps without principal swap | Current, decisive nominal amount of the swap |
| FRA | Nominal volume |
| Caps/floors | Nominal volumes of the current caplets/floorlets |
| Stock options | Net present value of the stock item |
| Index options | Value of the index item |
| Options on forward exchange transactions | Nominal amount of incoming cash flows in transaction currency |
| Options on interest instruments | Nominal amount of the interest instruments |
| Options on swaps | Current nominal amount of the swap |
| Warrants | Same as for options (subscription ratio is also taken into account) |
| Generic transactions | Net present value according to the selected transaction |
The system calculates the advance payment amount of a transaction in the following way:
| Transaction Form | Advance Payment Amount |
| Foreign exchange spot and forward transactions | Nominal amount of outgoing cash flows in transaction currency |
| Securities forward transactions | Purchases – agreed purchase price, sales – NPV of the security item that is to be delivered |
| Swaps | The amount of the outgoing cash flow due after the current evaluation date |
The system calculates the return payment amount of a transaction in the following way:
| Transaction Form | Return Payment Amount |
| Foreign exchange spot and forward transactions | Nominal amount of incoming cash flows in transaction currency |
| Securities forward transactions | Sales – agreed purchase price, purchases – NPV of the security item that is to be delivered |
| Swaps | The amount of the incoming cash flow due after the current evaluation date |
| Money market transactions | Nominal amount + last incoming cash flow |
| Loans | Nominal amount |
The net present value and the nominal amount based on the external commitments of a transaction are calculated as follows:
| Transaction Form | Net Present Value and Nominal Amount Based on External Commitment |
| Loans | Commitment capital |
| Variable transactions (not relevant in the TRM component), BCA accounts | External commitment |
The system calculates the NPV of a transaction in the following way:
| Transaction Form | Net Present Value |
| Loans, money market transactions | Net present value of incoming cash flows |
| Generic transactions | Net present value according to the selected transaction |
| All other transactions | Current net present value |
The system calculates the nominal amount of a transaction in the following way:
| Transaction Form | Nominal Amount |
| Stocks | Net present value of the stock item |
| Index-based transactions | Value of the index item |
| Forward exchange transactions | Nominal amount of incoming cash flows in transaction currency |
| Interest instruments, loans | The amount outstanding on the evaluation date |
| Swaps with principal swap | Amount of the highest occurring nominal amount after the evaluation date in transaction currency |
| Swaps without principal swap | Current, decisive nominal amount of the swap |
| FRA | Nominal volume |
| Caps/floors | Nominal volumes of the current caplets/floorlets |
| Stock options | Net present value of the stock item |
| Index options | Value of the index item |
| Options on forward exchange transactions | Nominal amount of incoming cash flows in transaction currency |
| Options on interest instruments | Nominal amount of the interest instruments |
| Options on swaps | Current nominal amount of the swap |
| Warrants | Same as for options (subscription ratio is also taken into account) |
| Generic transactions | Net present value according to the selected transaction |
The system calculates the advance payment amount of a transaction in the following way:
| Transaction Form | Advance Payment Amount |
| Foreign exchange spot and forward transactions | Nominal amount of outgoing cash flows in transaction currency |
| Securities forward transactions | Purchases – agreed purchase price, sales – NPV of the security item that is to be delivered |
| Swaps | The amount of the outgoing cash flow due after the current evaluation date |
The system calculates the return payment amount of a transaction in the following way:
| Transaction Form | Return Payment Amount |
| Foreign exchange spot and forward transactions | Nominal amount of incoming cash flows in transaction currency |
| Securities forward transactions | Sales – agreed purchase price, purchases – NPV of the security item that is to be delivered |
| Swaps | The amount of the incoming cash flow due after the current evaluation date |
| Money market transactions | Nominal amount + last incoming cash flow |
| Loans | Nominal amount |
The net present value and the nominal amount based on the external commitments of a transaction are calculated as follows:
| Transaction Form | Net Present Value and Nominal Amount Based on External Commitment |
| Loans | Commitment capital |
| Variable transactions (not relevant in the TRM component), BCA accounts | External commitment |
来自 “ ITPUB博客 ” ，链接：http://blog.itpub.net/22259926/viewspace-2151462/，如需转载，请注明出处，否则将追究法律责任。
转载于:http://blog.itpub.net/22259926/viewspace-2151462/
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