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Object documentation Risk Commitment Period Locate the document in its SAP Library structure

Definition

The risk commitment period describes the period during which termination of the commitment is not possible, or possible only with extreme difficulty. You can generate risk cost-term grids by defining default risk probabilities that are based on the risk commitment period. This reflects the fact that in reality the default risk increases with the length of the term of the transaction.

Use

In Customizing:  ® Basic Settings ® Definitions ® Define Default Risk Rule you define how the system is to calculate the risk commitment period. You can use dates from the transaction or fixed values in the calculation basis. The following values can be used to calculate the risk commitment period:

·       End of the term of the transaction

Note

For FRAs, the day of settlement is chosen as the end of the term.

·       Interest commitment

·       Capital commitment

·       Fixed values (the value of the risk commitment period is entered in months)

·       Ignore.

 

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