SAP ABAP IMG Activity _V_KLARRC (Define Default Risk Rule)
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 _V_KLARRC Define Default Risk Rule  
Transaction Code S_KK4_13000303   IMG Activity: _V_KLARRC 
Created on 19990830    
Customizing Attributes _V_KLARRC   Define Default Risk Rules 
Customizing Activity _V_KLARRC   Define Default Risk Rules 
Document
Document Class SIMG   Hypertext: Object Class - Class to which a document belongs.
Document Name _V_KLARRC    

In this section, you define default risk rules. A default risk rule is assigned to each single transaction in order to group transactions for business purposes. In the following step, these "groups" are valuated using standard methods. Default risk rules control the input parameters for attributable amount determination.

The following settings are required for defining the default risk rule:

  • You can store date determination for calculating market value change periods for each default risk rule.
  • You can store date determination for calculating the risk commitment period for each default risk rule.
  • The default risk rule also controls the type of recovery rate determination.
  • You are also able to set an indicator to determine whether the system is to calculate settlement risk.
  • In the SAP Banking Industry Solution, you can also include single commitments, which is not possible in CFM.

Requirements

You need to have already defined the recovery rate (see Define recovery rates) in order to be able to store a recovery rate determination in the default risk rule.

Example

The credit risk of DM fixed-term deposits is to be determined using default risk rule 1. This contains the attribute "date determination":

Risk commitment period and market value change period are to be derived from the term end of the transaction.

Standard settings

Using the default risk rules delivered with the system, you can value a number of different transactions. The first number in the key indicates the assigned risk sensitivity.

Activities

  1. Choose New entries.
  2. Enter a five digit numerical key and a description of the default risk rule
  3. Use F4 Help to select the calculation base of the market value change period, and specify the market value change period in months
  4. Use F4 Help to select the calculation base of the risk commitment period, and specify the risk commitment period in months
  5. Use F4 Help to choose the recovery rate determination
  6. Use F4 Help to select the recovery rate
  7. If required, set settlement risk to active
  8. If required, set single commitment to active
  9. Save your entries.

Business Attributes
ASAP Roadmap ID 203   Establish Master Data 
Mandatory / Optional 1   Mandatory activity 
Critical / Non-Critical 2   Non-critical 
Country-Dependency A   Valid for all countries 
Assigned Application Components
Documentation Object Class Documentation Object Name Current line number Application Component Application Component Name
SIMG _V_KLARRC 0 I510000042 Default Risk and Limit System 
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_KLARRC V - View SM30 ISB_RM Maintenance of Default Risk Rule 
History
Last changed by/on SAP  20000626 
SAP Release Created in