Default Probability 
Definition
The default probability is a percentage rate that specifies the probability of a loss on receivables in a given time period.
Integration
The default probability is stored in Customizing under Attributable Amount Determination ® Edit Counterparty Default Probabilities orEdit Country Default Probabilities. It is stored as a percentage depending on the rating of the business partner stored in the business partner master data (or from the financial object) and the risk commitment period. Additionally, you can adapt the default probability by assigning different valuation factors for different valuation procedures (for example, internal procedure, German Banking Act procedure).
Function Default Probability |
Risk Commitment Period |
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Up to 1 year |
over 1 year to 5 years |
over 5 years to 10 years |
Over 10 years |
||
Rating |
AAA |
0.02% |
0.05% |
0.1% |
0.2% |
AA |
0.05% |
0.15% |
0.3% |
0.5% |
|
BBB |
0.15% |
0.3% |
0.6% |
1.0% |
|
BB |
0.3% |
0.6% |
1.0% |
2.0% |
|