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SIMG_KLBEWFAK - Define Valuation Factor Determination

PERFORM Short Reference   rdisp/max_wprun_time - Maximum work process run time  
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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/region 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.

Most importantly, you need to activate the Default Risk and Limit System component.

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.

1. Choose New Entries
2. Enter a two-digit key.
3. Enter a short and long description for the procedure.
4. Select Counterparty Risk or Country/Region Risk.
5. Select the recovery rate basis (business partner rating or relevant country/region for country/region risk).
6. Save your entries.

The country/region risk settings are available in Banking only.

Fill RESBD Structure from EBP Component Structure   Vendor Master (General Section)  
This documentation is copyright by SAP AG.

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