【正文】 ting ?Value at risk Processing / Control Information procurement ?Marktomarket ?Sensitivities ?Crash scenarios TRTM ?Internal: risk position ?External: market data ? SAP AG R Risk Management TRTM TRMRM ? Market risk management ? Selection of instruments ? Authorization concept at user, business partner and trader level ? Limit management (money market, forex) ? Hedging strategies ? Macro hedge ? Portfolio hedge ? Micro hedge (release not yet specified) ? SAP AG R ? Information procurement ? Interest and currency exposure ? Marktomarket, effective interest ? rate ? Sensitivities, cash flow analyses ? Value at risk ? Assessment of possible solutions ? Simulation ? Whatif analyses ? Crash scenarios ? Transform risk using Treasury Management Mark Risk Management: Functions TRMRM Extensive risk valuation and control ? SAP AG R Market Risk Management: System Overview Values (IRR, NPV, option premium, exposure...) Calculation Reporting (graphics, list,...) Methods Cash flows Market data Scenario database Market database Buffer Portfolio formation by selection Fictitious transactions Actual position ? SAP AG R Integrated Market Risk Management Actual/scenario market data Actual transactions Control panel Integrates all ining data and resulting data relevant for risk Exposure Hedging rate Cash Management Markto market valuation Key ratios/ values Data inflow Results Fictitious cash flow update ? SAP AG R Analysis and Simulation Market data: Prices Interest rates Volatilities Key values NPV IRR Effective rate Exposure Hedging rate Cash flows Transactions: Forward transactions, options, swaps, caps/floors Key values based on simulated market data and simulated financial transactions ? SAP AG R Evaluation methods Evaluation methods Earnings/expense oriented Riskoriented ? Internal rate of return (IRR) ? Yield calculation (AIBD, Braess Fangmeyer, Moosm252。A39。? SAP AG R SAP AG R/3 Treasury ? SAP AG R Overview of Treasury Functions bank data business partner market data CM Financial Accounting US$ DEM MRM Download Market Risk Management: ? interest/currency exposure ? marktomarket valuation ? risk analysis/simulation ? valueatrisk Cash Management: ? electronic banking ? liquidity status ? integrated operational systems ? control functions Treasury/Loans Management ? managing financial deals and positions ? transfer to Financial Accounting ? flexible reporting ? datafeed interface Logistics D C D C 100 100 TM / LO Forex Money Market Derivatives Securities Loans ? SAP AG R Market Risk Management TRMRM Information procurement Information system SAP TREASURY Treasury Management Cash Management TRCM TRTM Liquidity/ risk analysis and simulation Trading Back office Control and audit Transfer to Financial Accounting Treasury Process ? SAP AG R Industries 1980 ? R/3 Launch ? ISIS/DARWIN project for Loans, Securities, Real Estate today R/2: Cash Management Money Market, Forex, Loans R/3: Cash Management Money Market, Forex, Derivatives, Securities, Loans, Market Risk Management Insurance panies Mortgage banks Corporates 1992 1993 1994 1996 ? Money Market, Forex, Derivatives project ? Market Risk Management project ? Audit ? Market release ? SAP AG R Countries 1980 ? R/3 Launch ? ISIS/DARWIN project for Loans, Securities, Real Estate R/2: Cash Management Money Market, Forex, Loans R/3: Cash Management Money Market, Forex, Derivatives, Securities, Loans, Market Risk Management Germany, Austria, Switzerland 1992 1993 1994 1996 ? Money Market, Forex, Derivatives project ? Market Risk Management project ? Audit ? Market release Englishspeaking countries Other today ? SAP AG R Customers ? Trade and industry ? Multinational corporations: ? Broad range of functions across the whole treasury area ? Various anizational structures, such as centralized/decentralized treasury ? Covers special national features, such as electronic banking formats ? Customers: Shell, Daimler Benz, Petrofina, Burda, ...... ? Mediumsized panies ? All functions available, regardless of pany size ? Uniform user interface simplifies training and usability ? The Treasury workstation concept allows scaled integration into the existing system environment using predefined interfaces ? SAP AG R Customers ? Providers of financial services ? Insurance panies ? Management of securities, loans and real estate ? Integrated portfolio and risk management ? Customers: Munich Re, Schweizer Rente, Aachener M252。nchner, ..... ? Banks ? Treasury master data used by SAP Banking ? Treasury Management is used as a basis for managing loans given and loans taken by mortgage banks (customer project) ? SAP AG R 1) % of all panies surveyed Source: Price Waterhouse Top 500 Survey (Germany) Main Targets of Treasury 1 To ensure liquidity 95 2 To optimize financing costs 92 3 To optimize yields on financial assets 74 4 To hedge costs (. against possible exchange rate fluctuations) 61 5 To hedge sales (. against possible exchange rate fluctuations) 52 6 To