How To Fix RY628 - Complete portfolio VaR is zero; VaRC calculation prevented

SAP Error Message - Details

• Message type: E = Error

• Message class: RY - Messages for RM Basis

• Message number: 628

• Message text: Complete portfolio VaR is zero; VaRC calculation prevented

What causes this issue?

Either the risk hierarchy is unsuitable, or no volatilities are
available.

System Response

The VaR contribution (VaRC) cannot be calculated.

How to fix this error?

Check the risk hierarchy and make sure that it contains the risk factors
relevant for the financial transactions.
Make sure that volatilities for the relevant risk factors exist in the
market data tables.

Procedure for System Administrators

The system issues an error message and will not allow you to continue with this transaction until the error is resolved.

Error message extract from SAP system. Copyright SAP SE.

Smart SAP Assistant

• What is the cause and solution for SAP error message RY628 - Complete portfolio VaR is zero; VaRC calculation prevented ?

  The SAP error message RY628, which states "Complete portfolio VaR is zero; VaRC calculation prevented," typically occurs in the context of Value at Risk (VaR) calculations within the SAP Financial Services module, particularly in the Risk Management area. This error indicates that the system has determined that the total Value at Risk for the portfolio being analyzed is zero, which prevents the calculation of the VaR component (VaRC).
  Causes:
  
  Empty or Inactive Portfolio: The portfolio being analyzed may not contain any active positions or trades, leading to a zero VaR.
  Data Issues: There may be missing or incorrect data related to the financial instruments in the portfolio, such as market prices, risk factors, or positions.
  Risk Factors: The risk factors used in the VaR calculation may not be properly defined or may not apply to the instruments in the portfolio.
  Calculation Parameters: The parameters set for the VaR calculation (e.g., confidence level, holding period) may not be appropriate for the current portfolio.
  Market Conditions: In some cases, extreme market conditions or a lack of volatility can lead to a calculated VaR of zero.
  
  Solutions:
  
  Check Portfolio Composition: Ensure that the portfolio contains active positions. If it is empty or contains only inactive positions, add relevant trades or instruments.
  Verify Data Integrity: Review the data for the financial instruments in the portfolio. Ensure that all necessary data (e.g., market prices, risk factors) is present and accurate.
  Review Risk Factors: Check the risk factors associated with the portfolio. Ensure that they are correctly defined and applicable to the instruments in the portfolio.
  Adjust Calculation Parameters: Review the parameters used for the VaR calculation. Adjust them if necessary to ensure they are suitable for the current portfolio.
  Consult Documentation: Refer to SAP documentation or help resources for specific guidance on VaR calculations and error messages.
  Run a Test Calculation: If possible, run a test calculation with a different portfolio that is known to have a non-zero VaR to see if the issue persists.
  
  Related Information:
  
  SAP Notes: Check for any relevant SAP Notes that may address this specific error or provide additional troubleshooting steps.
  Risk Management Configuration: Review the configuration settings in the SAP Risk Management module to ensure they are set up correctly for VaR calculations.
  User Roles and Authorizations: Ensure that the user executing the VaR calculation has the necessary authorizations to access the required data and perform the calculations.
  
  If the issue persists after following these steps, it may be beneficial to consult with your SAP support team or a specialist in SAP Risk Management for further assistance.