FSC010
Business Processes in Treasury &
Risk Management
SAP ERP - Financials
Course Outline
Course Version: 98
Course Duration: 5 Day(s)
Publication Date: 2015
Publication Time:
Copyright
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FSC010
Contents
Contents
Course Overview ...................................................................... v
Course Goals ....................................................................... v
Course Objectives ................................................................. v
Unit 1: Overview SAP Treasury .................................................... 1
Treasury and Risk Management: Overview ....................................
Core Treasury Process............................................................
Connection to Other SAP Modules and Non-SAP.............................
Process Overview Risk Management ..........................................
1
1
1
2
Unit 2: General Master Data ........................................................ 3
General Master Data .............................................................. 3
Unit 3: Transaction Manager: Money Market Trading (End-to-End
Process) ................................................................................. 4
Introduction to Money Market ....................................................
Money Market Trading Functions ................................................
Middle Office Functions ...........................................................
Back Office Functions (Example: Fixed-Term Deposit).......................
Accounting Functions (Example: Fixed-Term Deposit) .......................
Payment Program..................................................................
Valuation ............................................................................
Special Functions ..................................................................
Cash Management Integration ...................................................
Reporting............................................................................
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6
Unit 4: Transaction Manager: Foreign Exchange Trading (Delta
Process) ................................................................................. 7
Introduction to Foreign Exchange Trading......................................
Front Office Functions .............................................................
Foreign Exchange Accounting Functions.......................................
Currency Valuation Functions ....................................................
Reporting............................................................................
7
7
7
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8
Unit 5: Transaction Manager: Derivative Trading (Delta Process) ........ 9
Introduction to Derivative Financial Instruments ............................... 9
Controlling Exchange Rate Risks Using OTC Currency Options ............ 9
Controlling Interest Rate Risks Using Derivatives ............................. 9
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Contents
Controlling Interest and FX Risk ................................................. 10
Unit 6: Transaction Manager: Commodity Trading (Delta Process) ...... 11
Introduction to Commodities......................................................
Commodity-Specific Master Data ................................................
Commodity Trading Function.....................................................
Margin Management...............................................................
11
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12
Unit 7: Transaction Manager: Hedge Management (Short Overview) .... 13
Transaction Manager: Hedge Management (Short Overview) .............. 13
Unit 8: Transaction Manager: Securities Management (End-to-End
Process) ................................................................................. 14
Securities Management: Overview .............................................
Master Data.........................................................................
Trading and Middle Office Functions ............................................
Accounting and Closing Operations .............................................
Position Management .............................................................
14
14
14
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15
Unit 9: Market Data Management ................................................. 16
Market Data Management ........................................................ 16
Unit 10: Analyzer Basic Settings (Short Overview) ........................... 17
Overview Risk Management...................................................... 17
Analysis Structure and Basic Settings .......................................... 17
Evaluation Types................................................................... 17
Unit 11: Market Risk Analyzer...................................................... 18
NPV / Sensitivity Analysis......................................................... 18
Value-at-Risk Evaluations......................................................... 18
Results Data Base ................................................................. 19
Unit 12: Credit Risk Analyzer ...................................................... 20
CRA Functional Approach ........................................................
CRA Process (Limit Process) ....................................................
CRA Basic Terms ..................................................................
Additional Limit Management Functions ........................................
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Course Overview
Course Overview
The course provides an initial overview of the Transaction Manager, Market Risk Analyzer
and Credit Risk Analyzer components.
Target Audience
This course is intended for the following audiences:
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Project leaders
Project team members
Consultants
Users
Course Prerequisites
Required Knowledge
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None
Recommended Knowledge
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SAP01 SAP Overview
SAPFIN SAP Financials
Financial Instruments (Money Market, Foreign Exchange, Commodity, Security,
Derivatives)
Course Goals
This course will prepare the participant to:
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Create and manage process-oriented transactions in Transaction Manager, Market Risk,
Credit Risk, Portfolio and Accounting Analyzer
Configure and carry out typical business processes in these areas
Understand the core Treasury process
To get an overview about the different Treasury processes (Money Market, Foreign
Exchange, Derivate, Security, Commodity)
Course Objectives
After completing this course, the participant will be able to:
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2015
Use the support tools for back-office processing
Describe the interrelationships in the SAP Transaction Manager application
Set up the necessary structures for managing liquidity in the short, medium and long term
© SAP SE. All rights reserved.
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2015
Course Overview
Explain the different ways of monitoring and controlling market and credit risks
© SAP SE. All rights reserved.
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Course Outline
Unit 1
Overview SAP Treasury
Unit Overview
This lesson include an introduction to SAP Treasury and Risk Management. Additionally,
the following topics are discussed:
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Core Treasury Processes
Connection to other SAP modules and non SAP systems
Process Overview Risk Management
Lesson: Treasury and Risk Management: Overview
Lesson Objectives
After completing this lesson, the participant will be able to:
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Provide an overview of SAP Treasury and Risk Management
Explain the various processes and the standard functions within Treasury
Give an overview of the Transaction Manager
Give an overview of the Market Risk Analyzer
Give an overview of the Credit Risk Analyzer
Lesson: Core Treasury Process
Lesson Objectives
After completing this lesson, the participant will be able to:
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Describe the full Treasury process
Describe the different sub processes
Know the difference between Money Market, Foreign Exchange,
Commodities, Derivatives, and Securities
Lesson: Connection to Other SAP Modules and Non-SAP
Lesson Objectives
After completing this lesson, the participant will be able to:
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Describe the connection to Loans Management
Identify the connection points to other SAP modules
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Course Outline
Understand the reporting opportunities within SAP Treasury and
Risk Management (TRM)
Lesson: Process Overview Risk Management
Lesson Objectives
After completing this lesson, the participant will be able to:
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2015
Provide
Explain
Explain
Explain
Explain
Explain
an overview of the different risk processes
the Market Risk Management process
the Credit Risk Management process
the Portfolio Analyzer process
the Accounting Analyzer process
the Hedge and Exposure Management functionality
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Course Outline
Unit 2
General Master Data
Unit Overview
In this unit, you will learn how to create master data settings for house banks and business
partners.
Lesson: General Master Data
Lesson Objectives
After completing this lesson, the participant will be able to:
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Set up House Bank settings
Process the SAP business partners
Explain the role types defined in the business partner and create
business partner relationships
Set up standing instructions and define authorizations for the business partner
Differentiate between banks in general, business partner banks, and house banks
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Course Outline
Unit 3
Transaction Manager: Money Market
Trading (End-to-End Process)
Unit Overview
In this unit, you will learn how to create the individual money market products in the trading
area and which functions are available in middle and back office processing.
Integration with Cash Management and Financial Accounting is also explained, as well
as additional functions such as rollover, reversal, or the automatic generation of mirror
transactions.
Lesson: Introduction to Money Market
Lesson Objectives
After completing this lesson, the participant will be able to:
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Explain the money market product types in Transaction Manager and
describe how they are used in business.
Provide an example of an cash flow structure
Lesson: Money Market Trading Functions
Lesson Objectives
After completing this lesson, the participant will be able to:
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Perform the trading activities for capturing individual money market products
Lesson: Middle Office Functions
Lesson Objectives
After completing this lesson, the participant will be able to:
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Use internal and external correspondence
Provide an overview about the new Correspondence Monitor
Explain the deal release workflow
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Course Outline
Lesson: Back Office Functions (Example:
Fixed-Term Deposit)
Lesson Objectives
After completing this lesson, the participant will be able to:
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Perform back office activities for money market trading and use the
tools that support back office processing
Lesson: Accounting Functions (Example:
Fixed-Term Deposit)
Lesson Objectives
After completing this lesson, the participant will be able to:
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Use the posting function for transfer to Accounting and explain the posting logic
Lesson: Payment Program
Lesson Objectives
After completing this lesson, the participant will be able to:
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Describe the different variants and functions of the payment program
Use the treasury payment program
Lesson: Valuation
Lesson Objectives
After completing this lesson, the participant will be able to:
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Overview relevant market risk factors for money market transactions
Explain the operative and parallel accounting in TRM
Structure of Position Management procedure
Lesson: Special Functions
Lesson Objectives
After completing this lesson, the participant will be able to:
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Use the rollover, accrual/deferral, and reversal functions, as well as the function for
automatically generating mirror transactions, and explain when and why they are used.
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Course Outline
Lesson: Cash Management Integration
Lesson Objectives
After completing this lesson, the participant will be able to:
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Explain the Cash Management structure and integration
Lesson: Reporting
Lesson Objectives
After completing this lesson, the participant will be able to:
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Explain the structure of the standard information system, selected standard
reports, and the principle of drilldown reporting
Use important standard reports
© SAP SE. All rights reserved.
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Course Outline
Unit 4
Transaction Manager: Foreign Exchange
Trading (Delta Process)
Unit Overview
In this unit, you will learn about the financial instruments provided by the Transaction
Manager in the area of foreign exchange, and how these can be used to hedge against currency
risk (foreign exchange). The architecture and functionality of the parallel valuation areas that
you can use to map a number of accounting principles in the subledger and general ledger
are also explained.
In addition to this, the tools for preparing and executing key date valuations are also introduced.
Lesson: Introduction to Foreign Exchange Trading
Lesson Objectives
After completing this lesson, the participant will be able to:
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Name the product types in foreign exchange trading and the most important business
operations and functions in Trading, Back Office, and Accounting
Process delta view in connection to money market
Lesson: Front Office Functions
Lesson Objectives
After completing this lesson, the participant will be able to:
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Perform front-office processing for a spot or forward transaction
and a foreign exchange swap.
Lesson: Foreign Exchange Accounting Functions
Lesson Objectives
After completing this lesson, the participant will be able to:
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Transfer the flows from the foreign exchange transaction to Financial
Accounting using the accounting functions
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Course Outline
Lesson: Currency Valuation Functions
Lesson Objectives
After completing this lesson, the participant will be able to:
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Prepare and execute a key date valuation
Lesson: Reporting
Lesson Objectives
After completing this lesson, the participant will be able to:
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2015
Use the standard reporting for FX transactions
© SAP SE. All rights reserved.
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Course Outline
Unit 5
Transaction Manager: Derivative Trading
(Delta Process)
Unit Overview
In this unit, you will learn about the financial instruments provided by the Transaction Manager
in the areas of derivatives, and how these can be used to hedge against currency risk (foreign
exchange, derivatives) or interest rate risk (derivatives).
Lesson: Introduction to Derivative Financial Instruments
Lesson Objectives
After completing this lesson, the participant will be able to:
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Provide an overview of the derivative financial instruments supported by Transaction Manager.
Lesson: Controlling Exchange Rate Risks Using
OTC Currency Options
Lesson Objectives
After completing this lesson, the participant will be able to:
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Explain the various instruments for hedging against risks derived
from currency fluctuations
Map these instruments in Transaction Manager
Lesson: Controlling Interest Rate Risks Using Derivatives
Lesson Objectives
After completing this lesson, the participant will be able to:
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2015
Explain the various instruments for hedging against interest rate risks
Map these instruments in Transaction Manager
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Course Outline
Lesson: Controlling Interest and FX Risk
Lesson Objectives
After completing this lesson, the participant will be able to:
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Explain the cash flow and product structure of a CCS
Show an application example of a CCS
© SAP SE. All rights reserved.
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Course Outline
Unit 6
Transaction Manager: Commodity Trading
(Delta Process)
Unit Overview
In this unit, you will learn about the financial instruments provided by the Transaction Manager
in the areas of Commodities, and how these can be used to hedge against price risk. You will
learn the difference between the money market and commodities and get an overview of
the additional master data settings.
Lesson: Introduction to Commodities
Lesson Objectives
After completing this lesson, the participant will be able to:
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Differentiate between transaction and Future Account Management
Explain the various processes and the standard functions within
Treasury for Commodities
Explain the different Product Types and Product Structures
Lesson: Commodity-Specific Master Data
Lesson Objectives
After completing this lesson, the participant will be able to:
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Set up a commodity ID
Set up a Commodity Class
Set up Future Accounts
Lesson: Commodity Trading Function
Lesson Objectives
After completing this lesson, the participant will be able to:
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Create Commodity Future transactions
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Course Outline
Lesson: Margin Management
Lesson Objectives
After completing this lesson, the participant will be able to:
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Manage Future margins in SAP Treasury
Match Long/Short Future positions in SAP Treasury
© SAP SE. All rights reserved.
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Course Outline
Unit 7
Transaction Manager: Hedge Management
(Short Overview)
Unit Overview
In this unit, you will learn how to use the Hedge Management functionality provided by the
Transaction Manager, to hedge against interest, currency and price risks.
Lesson: Transaction Manager: Hedge Management (Short Overview)
Lesson Objectives
After completing this lesson, the participant will be able to:
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2015
Understand Hedge Management (cash flow hedge, fair value hedge
and hedge for net investment)
Create a Hedge Relationship
Perform an Effectiveness Test (prospective, retrospective)
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Course Outline
Unit 8
Transaction Manager: Securities
Management (End-to-End Process)
Unit Overview
This unit deals with the back office management of securities using the Transaction Manager.
Lesson: Securities Management: Overview
Lesson Objectives
After completing this lesson, the participant will be able to:
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Provide an overview of securities management
Name available product types
Provide an overview transaction and position management
Lesson: Master Data
Lesson Objectives
After completing this lesson, the participant will be able to:
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Create business partners in different roles
Maintain class master data, including basic data, conditions, and other data
Set up securities accounts and portfolios, if required, to manage your positions
Understand and create position indicators
Lesson: Trading and Middle Office Functions
Lesson Objectives
After completing this lesson, the participant will be able to:
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Trade securities transactions
Use the Collective Processing function for entering security transactions
Provide an overview about Position Management
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Course Outline
Lesson: Accounting and Closing Operations
Lesson Objectives
After completing this lesson, the participant will be able to:
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Familiarize yourself with the interface to accounting and the necessary closing operations
Differentiate posting out of the transaction and position management
Create interest accruals and perform a valuation run
Lesson: Position Management
Lesson Objectives
After completing this lesson, the participant will be able to:
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Explain and perform position management in Transaction Manager
Carry out a security account transfer
Process corporate actions
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Course Outline
Unit 9
Market Data Management
Unit Overview
In this unit, you will learn which type of market data is required for carrying out valuation
and a risk reporting.
Lesson: Market Data Management
Lesson Objectives
After completing this lesson, the participant will be able to:
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Enter different types of market data
Understand the structure of the Market Data Management system
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Course Outline
Unit 10
Analyzer Basic Settings (Short Overview)
Unit Overview
In this lesson, you will learn which basis settings are required before you can use the different
Analyzers (Market, Credit, Portfolio, Accounting Analyzer)
Lesson: Overview Risk Management
Lesson Objectives
After completing this lesson, the participant will be able to:
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Explain the risk type matrix (allocation of the different risk types)
Define a risk controlling process
Lesson: Analysis Structure and Basic Settings
Lesson Objectives
After completing this lesson, the participant will be able to:
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Provide a general explanation of the analysis structure and basic
settings for the Market Risk Analyzer
Lesson: Evaluation Types
Lesson Objectives
After completing this lesson, the participant will be able to:
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Understand the relevance of the Evaluation Type
Create a specification of relevant market data for evaluation
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Course Outline
Unit 11
Market Risk Analyzer
Unit Overview
Hint:
The central task of the Market Risk Analyzer is to analyze market risks and determine the
net present values of the financial transactions you manage.
First, you need to integrate the financial transactions from the Transaction Manager in the
Market Risk Analyzer and assign characteristics to them in the process to enable reporting
across freely definable portfolio hierarchies (see the lesson Analysis Structure and Basic
Settings).
To determine the net present values and market risks of managed financial transactions, you
need market data. The kind of market data that exists and how this data is imported into the
SAP system is explained in the lesson about Price Parameters.
The lessons NPV / Sensitivity Analysis and Value-at-Risk Evaluations contain an overview of
the determination of risk measures as well as the calculation of net present values.
Lesson: NPV / Sensitivity Analysis
Lesson Objectives
After completing this lesson, the participant will be able to:
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Explain and execute NPV and sensitivity analyses
Perform ALM analyses
Calculate sensitivity key figures
Perform Grid Analysis
Define and use market data scenario and shifts
Lesson: Value-at-Risk Evaluations
Lesson Objectives
After completing this lesson, the participant will be able to:
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Structure risk factors
Define risk hierarchies
© SAP SE. All rights reserved.
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Course Outline
Explain value-at-risk evaluations
Differentiate between Monte Carlo simulation, the variance/covariance
approach, and historical simulation
Explain how back testing works
Lesson: Results Data Base
Lesson Objectives
After completing this lesson, the participant will be able to:
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Understand the architecture of the Results Data Base
Explain reporting in the Results Data Base
Perform evaluations in the Results Data Base
© SAP SE. All rights reserved.
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Course Outline
Unit 12
Credit Risk Analyzer
Unit Overview
This unit takes a closer look at the Credit Risk Analyzer. The Credit Risk Analyzer is the
central limit management module in Transaction Manager and Loans Management.
Prerequisites
To use the full scope of functions provided by the Credit Risk Analyzer, you need to activate
them and create an analysis structure in Customizing. In this respect, the Credit Risk Analyzer
functions are linked to those of the Market Risk and Portfolio Analyzer.
Lesson: CRA Functional Approach
Lesson Objectives
After completing this lesson, the participant will be able to:
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Explain the functional approach of the CRA
Distinguish between credit risks and settlement risks
Lesson: CRA Process (Limit Process)
Lesson Objectives
After completing this lesson, the participant will be able to:
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Explain the CRA process (limit process)
Define and check limits
Make the connection between creating a transaction and determining the attributable amount
Use end-of-day processing in a target-oriented way
Understand exposure determination
Lesson: CRA Basic Terms
Lesson Objectives
After completing this lesson, the participant will be able to:
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Explain the basic terms of CRA
Create a limit structure from individual limit types
© SAP SE. All rights reserved.
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Course Outline
Create limit types from standard characteristics and characteristics you have defined yourself
Understand attribution amount determination
Define n-dimensional limit structures
Describe the determination procedure
Lesson: Additional Limit Management Functions
Lesson Objectives
After completing this lesson, the participant will be able to:
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2015
Explain the additional Limit Management functions
Include business partner relationships in the setting up of limit structures
Provide an overview of release workflows
© SAP SE. All rights reserved.
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