Hierarchy
EA-FINSERV (Software Component) SAP Enterprise Extension Financial Services⤷
IS-B-RA-CL (Application Component) Default Risk and Limit System⤷
FTBKC (Package) Risk Management: Counterparty/Issuer Risk Customizing
IMG Activity
| ID | SIMG_KLBEWFAK | Define Valuation Factor Determination |
| Transaction Code | S_KK4_13000311 | IMG Activity: SIMG_KLBEWFAK |
| Created on | 19990830 | |
| Customizing Attributes | SIMG_KLBEWFAK | Define Valuation Factor Determination |
| Customizing Activity | SIMG_KLBEWFAK | Define Valuation Factor Determination |
Document
| Document Class | SIMG | Hypertext: Object Class - Class to which a document belongs. |
| Document Name | SIMG_KLBEWFAK1 |
Using valuation factor determination, you are able to set whether attributable amounts for counterparty risks or country risks are to be calculated. You can use differentiated valuation factors within counterparty risk and country risk for:
- Add-on factors (using risk sensitivities )
- Default probabilities
Example
For counterparty risks it is necessary to have a valuation procedure that complies with the legal requirements for valuation factors. In addition to this, you want to use other valuation factors for internal purposes.
Requirements
Most importantly, you need to activate the Default Risk and Limit System component.
Standard settings
There are two valuation factor determination methods stored in the Customizing delivered with the system. Using procedure 2 (external procedure) in combination with determination procedure 11, credit weighting factors are stored in the table for default probabilities. These credit weighting factors are derived from the market valuation method that meets the standards set in the capital adequacy directive for clearing international payments specified by the Bank for International Settlements.
Recommendation
Activities
- Choose New Entries
- Enter a two-digit key
- Enter a short and long description for the procedure
- Select Counterparty risk or Country risk
- Select the recovery rate basis (business partner rating or relevant country for country risk)
- Save your entries.
Further notes
The country risk settings are only available in Banking.
Business Attributes
| ASAP Roadmap ID | 203 | Establish Master Data |
| Mandatory / Optional | 1 | Mandatory activity |
| Critical / Non-Critical | 1 | Critical |
| Country-Dependency | A | Valid for all countries |
Maintenance Objects
| Maintenance object type | C | Customizing Object |
| Assigned objects | ||||||
|---|---|---|---|---|---|---|
| Customizing Object | Object Type | Transaction Code | Sub-object | Do not Summarize | Skip Subset Dialog Box | Description for multiple selections |
| V_KLBEWFAKT | V - View | SM30 | ISB_RM | Determination of Valuation Factors |
History
| Last changed by/on | SAP | 20000725 |
| SAP Release Created in |
