SAP Treasury and Risk Management
2nd Edition
Published on 28. April 2013
Book
Hardback
1114 pages
978-1-59229-433-6 (ISBN)
Description
Manage financial risk more effectively with this comprehensive guide to SAP's treasury and risk management solutions, and learn how SAP ERP can help you meet legal and regulatory compliance requirements with ease. This book extensively presents the best ways to use the components of the Treasury and Risk Management solution, and identifies practical business solutions. You'll quickly learn how to maximize the potential of SAP Treasury and Risk Management and how to apply practical financial concepts to system interfaces. Reduce workflow inefficiencies and save process time with automated confirmation for completed transactions. Updated for SAP ERP 6.0, EHP6, this book includes expanded coverage on Customizing settings and all new content on transaction management, position management, market data, and hedge management.
Highlights include:
Master and market data
Transaction management
Correspondence
Position management
Exposure management
Integration with other modules
Hedge Accounting for Exposures and Positions
Reporting
Portfolio controlling with the Analyzers
Interfaces and enhancements
Legal regulations
Integration and system tools
More details
Other editions
Previous edition
Sönke Jarré | Reinhold Lövenich | Andreas Martin
SAP Treasury and Risk Management
Book
04/2008
1st Edition
SAP PRESS
€99.95
Article exhausted; check for reprint
Persons
Author
Rudolf Brysa, Ph.D., studied Financials and Computer Science at Masarykova Univerzita, Brünn, Czech Repulic, and at Georg August University in Göttingen, Germany. In 2012 he was awarded his doctorate degree by the Masarykova Univerzita. Since 2006, Rudolf Brysa has worked at SAP, initially as a support consultant, and in the area of Installed Base Maintenance and Support (IMS) since 2008. As a senior developer, Rudolf is in constant contact with customers, and his work focuses on both technical topics and questions regarding the implementation of business requirements in SAP Treasury and Risk Management.
Thomas Fritzsche studied Mathematics at Bergische Universität in Wuppertal, Germany. After receiving his degree in Mathematics, he started working at SAP AG's SAP Treasury and Risk Management development department in 2002. He initially started in the business management area and processing of financial products, and then transferred to SAP Japan in Tokyo for more than three years. There, he supported numerous international SAP customer projects. He then returned to SAP AG in Walldorf in 2009. Since then, he has primarily worked in the area of treasury position management. As a development architect, his work focuses on the software architecture of the entire SAP Treasury and Risk Management solution.
Dr. Markus Heß studied Physics at Ruprecht Karls University in Heidelberg, Germany. After completing his doctorate work at the Max Planck Institute for Nuclear Physics, he was awarded his PhD by the Heidelberg University in 1998. In the very same year, he started his professional career at SAP AG. He has always worked in software development for financial applications. Since 2010, he has worked in the SAP Treasury and Risk Management area. In his role as senior developer, he assumes responsibility for the development and architecture of Analyzers, focusing on the Market Risk Analyzer.
Sönke Jarré trained as a banker before going on to study Computer Science at the University of Bremen, Germany. After completing his studies, he took up a post in the Treasury and Risk Management area of SAP AG in 2001, where he has since progressed to the role of Senior Developer. His area of expertise is transaction management and its interfaces, and he also supports Installed Base Maintenance and Support (IMS) for customer messages. Sönke's main areas of responsibility include development projects and application modeling in collaboration and cooperation with adjacent areas.
Dr. Reinhold Lövenich studied Physics at RWTH Aachen and Jülich Research Center. He was awarded a PhD degree by the University of Dortmund in 1999. After completing a research scholarship at the Lawrence Berkeley National Labo¬ratory in the U.S., he started work in the Treasury and Risk Management area of SAP AG in 2002. His main tasks as a Senior Developer are in the area of Position Management and its interfaces with adjacent SAP modules. Reinhold's work is influenced by his collaboration with development teams in other modules, and his previous maintenance work.
Dr. Andreas Martin studied Mathematics at the University of Kaiserslautern, Germany and the Univer¬sity of Warwick, England, and was awarded his doctorate degree by the Lud¬wig-Maximilians-Universität in Munich, Germany. While studying for his PhD, he worked as a researcher at the Institute for Biomathematics and Biometry at the GSF National Research Center for Environment and Health GmbH in Munich. He also spent a one-year research scholarship at the École Polytechnique Fédé¬rale de Lausanne in Switzerland. He has worked in the Financial Services Team for Installed Base Maintenance and Support (IMS) at SAP AG since 2003. It is his work at SAP that gives Andreas his knowledge of Treasury and Risk Management from the viewpoint of developers and users alike, and enables him to take a comprehensive view of architecture, ongoing development, and application.
Dr. Klaus G. Müller studied Physics at the University of Bonn, Germany and the Max Planck Institute for Polymer Research in Mainz, Germany. He was awarded his PhD degree by the Johannes Gutenberg University in Mainz in 1996. Since then, Klaus has worked at SAP AG in the Treasury and Banking areas, focusing on analytic applications. His areas of responsibility to date are development and support, product management, and project management. He has worked on rollout projects for customers such as MEAG, Provinzial, and Statoil, as well as a variety of pilot projects. In his current role as Development Architect, he deals with architecture issues in Treasury and Risk Management.
Content
1. Introduction ... 21
1.1 ... Welcome to SAP Treasury and Risk Management ... 21
1.2 ... Content and Structure of the Book ... 24
1.3 ... Overview of Financial Instruments ... 31
1.4 ... History of SAP Treasury and Risk Management ... 35
1.5 ... Enhancement Packages for SAP ERP 6.0 ... 38
1.6 ... Rapid Deployment Solution and SAP Treasury and Risk Management ... 48
2. Master Data ... 53
2.1 ... Central Customizing Settings ... 54
2.2 ... Commodity Master Data ... 60
2.3 ... Class Master Data ... 62
2.4 ... Business Partners ... 76
2.5 ... Organizational Elements ... 82
3. Transaction Management ... 87
3.1 ... Financial Transaction ... 88
3.2 ... Trading ... 125
3.3 ... Back-Office Processing ... 133
3.4 ... Operative Reporting ... 147
3.5 ... Product Categories ... 151
3.6 ... Architecture ... 165
3.7 ... Specific Topics ... 174
4. Correspondence ... 183
4.1 ... The Old Correspondence Functions ... 185
4.2 ... Migration ... 189
4.3 ... Basic Principles ... 190
4.4 ... Customizing and Master Data ... 196
4.5 ... Outbound Process ... 221
4.6 ... Inbound Process ... 230
4.7 ... Mapping ... 238
4.8 ... Matching ... 243
4.9 ... Alerts ... 247
4.10 ... Display ... 250
4.11 ... Correspondence Monitor ... 251
4.12 ... Enhancements (BAdIs) ... 258
5. Position Management ... 263
5.1 ... Basic Terms ... 264
5.2 ... External Position Management ... 272
5.3 ... Basic Principles of Internal Position Management ... 314
5.4 ... Processes of Internal Position Management ... 355
5.5 ... Sample Scenarios ... 411
6. Integration with Other Modules ... 419
6.1 ... Paying Valuation Area ... 420
6.2 ... Financial Accounting ... 421
6.3 ... Processing Payments ... 454
6.4 ... SAP Cash and Liquidity Management ... 466
6.5 ... Public Sector Management ... 469
6.6 ... Regulatory Reporting ... 475
7. Market Data ... 479
7.1 ... Foreign Exchange Rates and Foreign Exchange Swap Rates ... 479
7.2 ... Security Prices ... 481
7.3 ... Reference Interest Rates and Yield Curves ... 486
7.4 ... Commodity Prices and Commodity Forward Curves ... 499
7.5 ... Indexes ... 506
7.6 ... Credit Spreads ... 507
7.7 ... Volatilities ... 508
7.8 ... Correlations ... 516
7.9 ... Net Present Value Repository ... 517
7.10 ... Scenarios and Market Data Shifts ... 521
7.11 ... Market Data Interface ... 524
8. Exposure Management ... 537
8.1 ... Basic Principles ... 538
8.2 ... Raw Exposure ... 541
8.3 ... Raw Exposure Customizing ... 550
8.4 ... Releasing Raw Exposures ... 554
8.5 ... Exposure Position ... 562
8.6 ... Integration of Logistics into Treasury ... 569
9. Hedge Accounting for Exposures ... 575
9.1 ... Processes in Hedge Accounting for Exposures ... 576
9.2 ... Customizing ... 605
9.3 ... Ways to Create Exposures ... 624
9.4 ... Implementation Guide ... 633
10. Hedge Accounting for Positions ... 651
10.1 ... Processes in Hedge Accounting for Positions ... 653
10.2 ... Position Management in Hedging Relationships ... 674
10.3 ... Effectiveness Test ... 689
11. Reporting with the Information System ... 713
11.1 ... Logical Databases ... 714
11.2 ... SAP Query ... 760
11.3 ... Function Module LDB_PROCESS and RAPIs ... 766
11.4 ... SAP NetWeaver BW ... 776
12. Portfolio Controlling with the Analyzers ... 787
12.1 ... The Analyzer Family ... 788
12.2 ... Basic Principles, Architecture, and Data Retention ... 791
12.3 ... Common Control and Structuring Entities ... 840
12.4 ... Value at Risk ... 863
12.5 ... Online Analyses of the Market Risk Analyzer ... 892
12.6 ... The Results Database of the Market Risk Analyzer, Portfolio Analyzer, and Accounting Analyzer ... 907
12.7 ... Credit Risk Analyzer ... 976
12.8 ... Tools: Parallel Processing ... 1002
13. Interfaces and Enhancements ... 1005
13.1 ... BAPIs ... 1006
13.2 ... PI Message ... 1020
13.3 ... Enhancements ... 1030
14. Legal Regulations ... 1045
14.1 ... Sarbanes-Oxley Act ... 1046
14.2 ... Tax Authority Requirements ... 1049
15. Integration and System Tools ... 1057
15.1 ... Attribute Derivation Tool ... 1057
15.2 ... Legacy Data Transfer ... 1062
15.3 ... Initialization ... 1071
15.4 ... Migration ... 1075
15.5 ... Archiving ... 1078
Appendices ... 1083
A ... Bibliography ... 1085
B ... The Authors ... 1087
C ... Acknowledgments ... 1091
Index ... 1093