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Procedure documentationAd Hoc Calculation Locate this document in the navigation structure

 

You use the ad hoc calculation to test a representative section of a scenario portfolio and to validate the credit risk scenarios used. Since the ad hoc calculation does not work as a parallel job it is suitable for small, clearly defined portfolios only.

The ad hoc calculation uses calculation steps from the approximate stress run, including customer-specific enhancement steps. Unlike the approximate stress run, the ad hoc calculation cannot be scheduled as a background job.

Note Note

The ad hoc calculation allows you to calculate credit risk scenarios only and not scenarios of other data categories.

End of the note.

Prerequisites

  • You have defined a credit risk scenario and the corresponding entities:

    • Scenario segments

    • Scenario segmentations

    • Risk parameter specifications

    For more information, see Credit Risk Scenario.

    Note Note

    You do not need to create composite scenarios and credit risk scenario sets for ad hoc calculations.

    End of the note.

  • You have made the required settings in Customizing for Bank Analyzer under   Processes and Methods   Credit Risk   Credit Risk Stress Tests   Run Settings   Ad Hoc Calculation  .

  • The results of a CVPM aggregation process or a credit exposure calculation run are available. These results are read from the Results Data Layer (RDL) and are the basis for the real data for the ad hoc calculation. For more information about the aggregation process, see Aggregation Run for Ad Hoc Calculation.

The prerequisites specified in Stress Tests for Credit Risk Scenarios also apply.

Procedure

You execute ad hoc calculations on the user interface in SAP NetWeaver Business Client or SAP NetWeaver Portal under   Credit Risk Stress Tests   Ad Hoc Calculation   Execute Ad Hoc Calculations  .

When you execute this process, you can re-use the entries saved for previous ad hoc calculations.

Perform the following steps:

  1. Select the preliminary process

    • Select an ad hoc run type.

    • Use the input help (F4) for the key date to choose a credit exposure run or a CVPM run.

  2. Restrict the scenario portfolio

    Specify the transaction worklist for which you want to execute an ad hoc calculation. You can use filter criteria to do this.

    Note Note

    You define which characteristics are suitable filter criteria for the ad hoc calculation in Customizing for Bank Analyzer under   Processes and Methods   Credit Risk   Credit Risk Stress Tests   Run Settings   Ad Hoc Calculation   Edit Filter Settings  :

    • Characteristics are suitable if the same characteristics have been entered for all portions of the exposure.

    • Characteristics are not suitable if different characteristics have been entered for some portions or if no characteristics have been entered.

    The correct functioning of the ad hoc calculation can only be ensured if suitable filter characteristics are used. You enter the ID for the filter settings in the ad hoc run type.

    End of the note.

  3. Load the scenario portfolio

    Choose Load Scenario Portfolio.

    A new screen appears on which the aggregated, unstressed result is displayed.

  4. Define the credit risk scenario

    Create a new credit risk scenario or select an existing credit risk scenario in the Scenario ID field for which you want to execute an ad hoc calculation.

  5. Calculate the credit risk scenario

    Choose Execute Calculation. The system calculates the stressed results for the selected credit risk scenario.

You can repeat the calculation with other credit risk scenarios and compare the results.

Result

The system displays the results as aggregated values at the level of the general scenario portfolio. You can also display the results at single transaction level (detailed view). A diagram is also available.

You can compare the results data of the ad hoc calculation with real data and with the results data of other credit risk scenarios. If you have calculated stressed results for several credit risk scenarios, you can use one of these results as the reference for a delta calculation.

The results of an ad hoc calculation are not saved but can be exported to Microsoft Excel.

More Information

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