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Process documentationStress Tests for Credit Risk Scenarios Locate this document in the navigation structure

 

You can use the following processes to prepare and run stress tests for credit risk scenarios and to display the results of these tests:

  • Approximate stress run

  • Ad hoc calculation

  • Credit exposure stress run (Basel II)

  • Credit exposure stress run with online selection (Basel II)

The stress test application, which is delivered as part of the Basel II solution, comprises the credit exposure stress run and the credit exposure stress run with online selection. This is a complete revaluation and includes preliminary processes and collateral distribution as part of the composite scenario. These runs are the equivalent of a complete credit exposure calculation run for the scenario in question.

The stress test application for credit risks SAP Interactive Credit Risk Analysis is not included in the scope of Basel II. It has to be purchased with a separate license. This solution provides an approximate stress run and an ad hoc calculation. The user interfaces for the ad hoc calculation can be integrated with SAP NetWeaver Business Client or SAP NetWeaver Portal.

Note Note

The stress tests for credit risk scenarios in accordance with Basel II also require a license for SAP Interactive Credit Risk Analysis.

End of the note.

The following table shows which scenarios can be processed by the stress runs:

Approximate Stress Run

Ad Hoc Calculation

Credit Exposure Stress Run

Credit Exposure Stress Run with Online Selection

Credit Risk Scenario

Yes

Yes

Yes, if the credit risk scenario is part of a composite scenario.

Yes, if the credit risk scenario is part of a composite scenario.

Credit Risk Scenario Set

Yes

No

Yes, if the credit risk scenario set is part of a composite scenario.

Yes, if the credit risk scenario set is part of a composite scenario.

Composite Scenario

Yes, but the run processes only the credit risk scenario contained in the composite scenario.

No

Yes

Yes

Non-Credit Risk Scenario

(scenarios with other data categories, such as market data, business partner)

No

No

Yes

Yes

Prerequisites

General Prerequisites

You have made the following settings in Customizing for Bank Analyzer under   Processes and Methods   Credit Risk   Credit Risk Stress Tests   Configuration  :

  • Define Characteristics for Scenario Segments (optional)

  • Edit Risk Parameter Shift Types (optional)

  • Assign Key Figures to Risk Parameter Shift Types

Process-Specific Prerequisites

Credit Exposure Stress Run/Credit Exposure Stress Run with Online Selection

  • You have included the credit risk scenario or the credit risk scenario set in a composite scenario. You do this in Customizing for Bank Analyzer under   Processes and Methods   Credit Risk   Credit Risk Stress Tests   Configuration   Edit Composite Scenarios  .

    For more information about composite scenarios, see the Integration section in Stress Test Scenarios.

  • Optional: You have created the modules that you want to use in the credit exposure stress run in Customizing for Bank Analyzer under   Processes and Methods   Credit Risk   Credit Exposure   Module Editor   Edit Modules  .

  • Optional: You have assigned to the scenarios the modules or localization category (or both) that you want to use in the credit exposure stress run in Customizing for Bank Analyzer under   Processes and Methods   Credit Risk   Credit Exposure   Scenario   Define Modules and Localization Categories for Scenarios  .

For more process-specific prerequisites, see the documentation for the relevant stress run.

Process

  1. Definition

    Create a credit risk scenario and the corresponding entities:

    • Scenario segments

    • Scenario segmentations

    • Risk parameter specifications

    You can group a single credit risk scenario with other credit risk scenarios in a credit risk scenario set.

    Make these settings in Customizing for Bank Analyzer under   Processes and Methods   Credit Risk   Credit Risk Stress Tests   Configuration   or on the user interface in SAP NetWeaver Business Client or SAP NetWeaver Portal under   Credit Risk Stress Tests   Definition  .

  2. Calculation

    To run a stress test for a credit risk scenario, execute one of the following stress runs as described in the accompanying documentation:

    Credit risk scenarios are calculated with the help of the credit exposure stress run or the credit exposure stress run with online selection based on the same processes as the Basel II stress test solution. However, you can also calculate credit risk scenarios if you have the license for SAP Interactive Credit Risk Analysis.

    The following table shows where you can execute stress runs:

    Approximate Stress Run

    Ad Hoc Calculation

    Credit Exposure Stress Run

    Credit Exposure Stress Run with Online Selection

    SAP Easy Access (Bank Analyzer system)

    Yes

    No

    Yes

    Yes

    Background Processing (Bank Analyzer system)

    Yes

    No

    Yes

    Yes

    NetWeaver Portal (UI)

    No

    Yes

    No

    No

    NetWeaver Business Client (UI)

    No

    Yes

    No

    No

  3. Results

    For more information about displaying and storing the results of credit risk stress tests, see the documentation for the corresponding stress run.

More Information

For more information, see the Business Content documentation for Bank Analyzer under Credit Risk Stress Tests and the NetWeaver Portal Content documentation under Business Package for Financial Services Analytical Banking 8.0.

For more information about the relevant roles, see Credit Risk Analyst in SAP NetWeaver Business Client and Credit Risk Analyst in SAP NetWeaver Portal.