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

2

«real world» Situation

Risk Policy

Sales

Generation

Middle Office

Trading

RMSRisk Reporting

Compliance

RALCO

3

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

4

Risk Management System

currentpositions

currentmarketdata

historicmarketdata

Mark to Market

project

Value at Risk

project

AccountsPayable /Receivable

�

Credit Reports

5

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;�

6

Position data flow

Middle Office

Front Office

Position collection

�

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;�

7

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

8

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

9

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

10

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

11

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

12

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

13

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

14

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)

15

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)

16

SAS/ACCESS to R3 to access SAP BW

! CONS

17

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

18

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)

19

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

20

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

22

Certification

! SAS has an SAP-certified software interfacefor Business Information Warehouse�sOLE DB for OLAP (ODBO) interface