What is 'asset correlation' in SAP FS-BA-PM-CR - Credit Risk?

asset correlation - Overview

• Component: FS-BA-PM-CR

• Component Name: Credit Risk

• Description: The degree of linear dependency between a borrower and a systematic sector in a factor model. This type of factor model can be either a single-factor model or a multi-factor model. This dependency refers to the relationship between the standardized log returns of the borrower's asset values and the standardized log returns of the systematic sector.

asset correlation - Details

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  Key Concepts: 
  Asset correlation is a feature of the Credit Risk Management component of SAP Financial Services (FS-BA-PM-CR). It allows users to identify and analyze the correlation between different assets, such as stocks, bonds, and derivatives. This helps to identify potential risks and opportunities in the portfolio.
  
  How to use it: 
  Asset correlation can be used to identify potential risks and opportunities in a portfolio. To use it, users must first select the assets they want to analyze. Then, they can use the correlation analysis tool to compare the performance of each asset over time. This will help them identify any correlations between the assets and determine if there are any potential risks or opportunities in the portfolio.
  
  Tips & Tricks: 
  When using asset correlation, it is important to remember that correlations can change over time. Therefore, it is important to regularly monitor the performance of each asset in order to ensure that any correlations are still valid. Additionally, it is important to consider other factors such as market conditions when analyzing correlations.
  
  Related Information: 
  For more information on asset correlation and other features of SAP Financial Services (FS-BA-PM-CR), please refer to the official SAP documentation. Additionally, there are many online resources available that provide tutorials and tips on how to use asset correlation effectively.