Credit Exposure 

Purpose

Credit Exposure contains an infrastructure that you can use to calculate exposure key figures such as the Exposure at Default (EAD), which is the basis for calculating the capital requirement (CR)..

 

Implementation Considerations

In order to meet the Basel II requirements of the regulations governing the capital charge, you can use the following approaches in Credit Exposure to measure credit risk:

●      Standardized approach (simple standardized approach, comprehensive standardized approach)

●      Internal ratings-based approach (IRB approachs)

●      IRB foundation approach

●      Advanced IRB approach

 

Integration

Credit Exposure is integrated into the Processes und Methods of Bank Analyzer. Various source systems supply data to Credit Exposure. Rather than communicating directly with Credit Exposure or with the upstream General Calculation and Evaluation Methods, these source systems first store the data in the Source Data Layer (SDL). Credit Exposure can access master data and flow data in the SDL that was either supplied by one of the source systems or originally created in the SDL.

In Credit Exposure, you can use the results generated by the upstream general calculation and evaluation methods. The system accesses the results using the Results Data Layer (RDL) or the Result Database (RDB), where the results data from general calculation and evaluation data is stored. You can use the results from the following methods:

●      Account Pooling

●      Facility Distribution

●      Determination of the Free Credit Lines

●      Collateral Distribution

●      Determination of Default

The calculated credit exposure results are also stored in either the Results Data Layer or in the Result Database. You define where results are stored for each client individually. You do so in Customizing under Bank Analyzer ® Processes and Methods ® General Calculation and Valuation Methods ® Storage of Results ® Define Results Storage (RDB/RDL).

The results data can then be reported in SAP NetWeaver Business Intelligence (BI) or using the Regulatory Reporting Interface, or displayed in run administration. Credit Exposure results can also be used in the runs for generating historical data, and stored in the Historical Database.