SAP ABAP IMG Activity _V_KLEVDEF (Define Determination Procedures)
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_KLEVDEF Define Determination Procedures  
Transaction Code S_KK4_13000312   IMG Activity: _V_KLEVDEF 
Created on 19990830    
Customizing Attributes _V_KLEVDEF   Define Determination Procedures 
Customizing Activity _V_KLEVDEF   Define Determination Procedures 
Document
Document Class SIMG   Hypertext: Object Class - Class to which a document belongs.
Document Name _V_KLEVDEF    

In this section, you are able to make the following settings:

  1. Determination procedure
  2. Description of the determination procedure
  3. Risk category
  4. Valuation factor determination
  5. Exposure
  6. Collateral valuation rule
  7. Netting agreement

In addition, you define in the determination procedure whether default probabilities are to be interpolated.

Example

To value all transactions for all risk categories, you have to define two determination procedures:

  1. Procedure for credit risk
  2. Procedure for settlement risk

Requirements

The most important prerequisite for valuing transactions is the activation of the Default Risk and Limit System by choosing Basic Settings -> Global Settings. In addition, you need to have already defined at least one valuation factor determination and one collateral valuation rule.

Standard settings

You will find two determination procedures in Sample Customizing. No default probabilities or add-on factors have been assigned to determination procedure 1. For determination procedure 11, in this case credit weighting factors (in accordance with the German Banking Act) have been set up in the table for default probabilities and add-on factors according to the market valuation method (in accordance with the German Banking Act - July 1998).

Recommendation

Choose a meaningful way of naming determination procedures (for example, the second character could indicate the risk category).

Activities

  1. Choose New entries
    The system displays the screen Maintainance of Determination Procedure
  2. Enter a two-digit key and a name for the determination procedure
  3. Assign a valuation factor determination and a risk category
  4. Choose the indicator for gross or net exposure
  5. Select a collateral valuation rule
  6. Activate interpolation for default probabilities if required
  7. Choose whether netting agreements are to be taken into account, and enter the weighting factor 'a' for calculating the netting add-on
  8. Save your entries.

Further notes

Note for Sample Customizing:

By assigning a default risk rule to the financial object of the transaction to be valued, you can use determination procedure 11 from the delivered Customizing to determine an attributable amount, without having to make any further settings.

Business Attributes
ASAP Roadmap ID 204   Establish Functions and Processes 
Mandatory / Optional 1   Mandatory activity 
Critical / Non-Critical 1   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_KLEVDEF 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_KLEVDEF V - View SM30 ISB_RM Maintenance of Determination Procedure 
History
Last changed by/on SAP  20000728 
SAP Release Created in