Risk Management @ Electrabel : exploiting SAP BW data for pricing ...
Transcript of Risk Management @ Electrabel : exploiting SAP BW data for pricing ...
Risk Management @ Electrabel :exploiting SAP BW data for pricing and exposure reporting in Energy Trading
!Walter Waterschoot,
!Risk System Expert, Electrabel
!Paul Bruynseels,
!Cross Application Project Mgr, Electrabel
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«real world» Situation
Risk Policy
Sales
Generation
Middle Office
Trading
RMSRisk Reporting
Compliance
RALCO
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Modeled implementation
Pricing functions and methods
Current market data Summary table
OUTFLOW (reporting)
�ODS (static reporting pdf)�SAS/INTRNET(dynamic reporting)�Enterprise Guide (ad hoc)
INFLOW:
�SAS/ACCESS to SAP BW�SAS/ACCESS to ORACLE
Analysis project
Instrument values
�SAS/Warehouse Administrator(analytical engine)�SAS Risk Management
RMS
Current positions
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Risk Management System
currentpositions
currentmarketdata
historicmarketdata
Mark to Market
project
Value at Risk
project
AccountsPayable /Receivable
�
Credit Reports
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Market data flow
Middle Office
The world outside
Data collection
mail �data sourcesobservations ftp Bloom
berg
currentriskfactors
data currencies;set bloomberg.daily_extract;
�run;
proc sort data=currencies;by ISOCODE;
run;�
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Position data flow
Middle Office
Front Office
Position collection
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Deal Capture System
currentpositions
DealCaptureSystem
data fuel_oil_options;set trading.all_positions;
if upcase(type) in (�CALL� �PUT�)then ��run;
proc sort data=unit_conversion;�
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IT Challenges
Multitude of data are on different platforms� Oracle� SAP/BW� Excel
Integration onto one platform using one software vendor" SAS Access to Oracle" SAS Access to BW" SAS Access to PC files
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SAS/ACCESS to SAP BW
! Where used?
Risk Mgmt
To access financial data coming from SAP/R3�s FI-CO environment daily ! uploaded into BW ODS�s
To access Trading Master Data coming from Oracle database made available in BW
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SAS/ACCESS to SAP BW
! Features• Uses SAS/ACCESS to R/3 technology underneath
• Accesses Infocubes, ODS�s and PSA tables
• Works on non-Windows platforms
• High performance -> good for mass extraction
• Wizard to load BW metadata into SAS
• Wizard to read BW InfoCubes, ODS�s and PSA tables into SAS
• Wizard to export OLAP metadata to SAS/EIS
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Structure of InfoCube in SAP BW
! BW stores InfoCubes in
! Snowflake Schema:
•1Fact table
•n Dimension tables
•n SID tables
•n Text tables
•n Master tables
MT
F
D
M
S
T
MS
T
S
DD
D
M
S
T
MS
T
MS
T
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Extraction of InfoCube
! Reduces snowflake schema to star schema:� 1 fact table� n dimension tables
SAS Views to BWSnowflake Schema Tables
MT
F
D
MS
T
MST
S
DD
D
MS
T
MST
MST
SAS Formats
SAS Data SetsStar Schema Tables
FD
D
D
D
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SAS/ACCESS to SAP BW
Architecture Details Metadata
SAS/ACCESS to SAP BW
SAP BW
SAS/ACCESS to R/3
Meta data Repository
BASE
Extractor
Meta data Repository
SAS/MDDB
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SAS/ACCESS to SAP BW
Architecture Details InfoCube
SAS/ACCESS to SAP BW
SAS/ACCESS to R/3SAS/MDDB
InfoCube
Star Schema
BASE
Extractor
Meta data Repository
SAP BW
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SAS/ACCESS to SAP BW
! PROS
• Easy interface
• Accesses Infocubes and ODS�s
• High performance with ODS�s especially when dedicated server used # good for mass extraction
� CONSNo field selection possibleNo where clause possibleWhen extracting complex infocubes performance tends to slow down! processing was introduced and tested but practically no gain (SAP BW�s snowflake complexity)
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SAS/ACCESS to R3 to access SAP BW
! PROS
• Easy interface
• Accesses PSA tables easily
• High performance especially when dedicated server used # good for mass extraction
• Field selection possible
• Where clause possible
• No internal BW processing since only staging area used (very fast)
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SAS/ACCESS to R3 to access SAP BW
! CONS
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SAS/ACCESS to R3 to access SAP BW
! Where used?
• Marketing and Sales
�To access invoice data coming from several non-SAP environments uploaded into BW PSA tables
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Overall Remarks
Ordinary userid�s as defined in BW for end users cannot be used to access BW through SAS Access
The SASCPIC userid that has to be defined to be able to access BW with SAS Access cannot restrict data access to the infoarea or data target level (it�s all or nothing)
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Tips and TricksIf data stored in BW as data repository only without any cubes built on top for query functionalities then use PSA insteadRather extract data from ODS�s instead of Infocubes (less complex # faster)Define several SASCPIC userid�s in BW and dedicate each of them to different processes, dept�s, groups to avoid interference
To restrict data access, download restricted metadata datasets to different metadata files with restricted access
Keep it simple
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Some download times• ODS (with dedicated server)
• PSA (from client workstation)
1 Mb/s11 Mb/s1 Mb/s
Rate
32� 13��881.909 Mb2.983.440
5� 14��199267 Mb217.0083� 41�� 152.524 Mb2.460.813
Downlaod Time# varssize# obs.
1 Mb/s0.5 Mb/s
Rate
3� 33��392 Mb1.697.56347� 12��64 2.594 Mb4.415.689
Download Time# varssize# obs.
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Benefits• Builds on previously made investment
• Harnesses the power of SAS
• Complements BW functionality
• Metadata driven extraction without programming
• Offloads analytical processing to specially tuned analytical SAS data mart
• Only product on the market to surface InfoCube data
• Not limited to Windows platforms -> scalable
• Prerequisite for data mining
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Certification
! SAS has an SAP-certified software interfacefor Business Information Warehouse�sOLE DB for OLAP (ODBO) interface