SAP Treasury and Risk Management

Rudolf Bryša, 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 Bryša 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 Laboratory 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 University of Warwick, England, and was awarded his doctorate degree by the Ludwig-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 Fédérale 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.

Introduction
Welcome to SAP Treasury and Risk Management
Content and Structure of the Book
Overview of Financial Instruments
History of SAP Treasury and Risk Management
Enhancement Packages for SAP ERP 6.0
Rapid Deployment Solution and SAP Treasury and Risk Management
Master Data
Central Customizing Settings
Commodity Master Data
Class Master Data
Business Partners
Organizational Elements
Transaction Management
Financial Transaction
Trading
Back-Office Processing
Operative Reporting
Product Categories
Architecture
Specific Topics
Correspondence
The Old Correspondence Functions
Migration
Basic Principles
Customizing and Master Data
Outbound Process
Inbound Process
Mapping
Matching
Alerts
Display
Correspondence Monitor
Enhancements (BAdIs)
Position Management
Basic Terms
External Position Management
Basic Principles of Internal Position Management
Processes of Internal Position Management
Sample Scenarios
Integration with Other Modules
Paying Valuation Area
Financial Accounting
Processing Payments
SAP Cash and Liquidity Management
Public Sector Management
Regulatory Reporting
Market Data
Foreign Exchange Rates and Foreign Exchange Swap Rates
Security Prices
Reference Interest Rates and Yield Curves
Commodity Prices and Commodity Forward Curves
Indexes
Credit Spreads
Volatilities
Correlations
Net Present Value Repository
Scenarios and Market Data Shifts
Market Data Interface
Exposure Management
Basic Principles
Raw Exposure
Raw Exposure Customizing
Releasing Raw Exposures
Exposure Position
Integration of Logistics into Treasury
Hedge Accounting for Exposures
Processes in Hedge Accounting for Exposures
Customizing
Ways to Create Exposures
Implementation Guide
Hedge Accounting for Positions
Processes in Hedge Accounting for Positions
Position Management in Hedging Relationships
Effectiveness Test
Reporting with the Information System
Logical Databases
SAP Query
Function Module LDB_PROCESS and RAPIs
SAP NetWeaver BW
Portfolio Controlling with the Analyzers
The Analyzer Family
Basic Principles, Architecture, and Data Retention
Common Control and Structuring Entities
Value at Risk
Online Analyses of the Market Risk Analyzer
The Results Database of the Market Risk Analyzer, Portfolio Analyzer, and Accounting Analyzer
Credit Risk Analyzer
Tools: Parallel Processing
Interfaces and Enhancements
BAPIs
PI Message
Enhancements
Legal Regulations
Sarbanes-Oxley Act
Tax Authority Requirements
Integration and System Tools
Attribute Derivation Tool
Legacy Data Transfer
Initialization
Migration
Archiving
Appendices
Bibliography
The Authors
Acknowledgments
Index