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_KLAUSFWKT | Edit Counterparty Default Probabilities |
| Transaction Code | S_KK4_13000288 | IMG Activity: _V_KLAUSFWKT |
| Created on | 19990830 | |
| Customizing Attributes | _V_KLAUSFWKT | Maintain Default Probabilities |
| Customizing Activity | _V_KLAUSFWKT | Maintain Default Probabilities |
Document
| Document Class | SIMG | Hypertext: Object Class - Class to which a document belongs. |
| Document Name | _V_KLAUSFWKT |
The default probability for counterparties is composed of the function of the rating of the business partner, with whom the transaction that is to be valued was carried out, and the risk commitment period.
Example
Transactions with a risk commitment period of 12 months and that were made with business partners with a rating of AAA, would have a default probability of 1%.
Requirements
You need to have already defined the rating tables in business partner Customizing.
Standard settings
The system uses the credit weighting factors from the capital adequacy directive as default probablilities for external valuation factor determination. Transactions are placed in their respective risk categories according to the rating stored in the business partner. The risk commitment period is set to the smallest value (one month). In this way, the default probability of all transactions is calculated solely on the basis of the rating stored in the business partner master data.
Activities
- Choose New entries.
- Decide on a valuation factor determination which reflects the determination procedures (internal/external) for which you need the default probabilities
- Assign the rating/risk commitment period to the default probability by entering the respective values for the rating (using F4 Help) and the risk commitment period (in months). If, for example, you enter a risk commitment period of 12 months, all transactions will be selected which have a risk commitment period of 12 months or less. If a transaction has a risk commitment period greater than the largest entry in the table, than the largest available entry will be used. If no larger entry exists, then the next largest will be used.
- Enter a date from which the default probability is to be valid. For valuations, the most up-to-date entry is always used.
- Enter a default probability.
- Save your entries.
Further notes
In contrast to the description above, the default probability for a transaction whose risk commitment period lies between two maintained periods is interpolated in a linear way if the relevant indicator is active in the determination procedure upon which it is based.
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_KLAUSFWKT | 0 | I510000042 O KFM0000020 |
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_KLAUSFWKT | V - View | SM30 | ISB_RM | Maintain Default Probability |
History
| Last changed by/on | SAP | 20031217 |
| SAP Release Created in |
