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Process documentationApproximate Stress Run Locate this document in the navigation structure

 

You use the approximate stress run to apply credit risk scenarios to portfolios that have already been calculated using the credit exposure run.

The approximate stress run is based on the results of a credit exposure calculation run using real, unstressed data. The system reads these results from the Results Data Layer (RDL). More specifically, the approximate run uses the method of collateral distribution of the update run, which improves system performance.

The use of this method of collateral distribution means that the results of the approximate stress run are approximately correct because the use of a credit risk scenario could change the optimal collateral distribution. This means that the capital requirement at portfolio level, which is a result of the approximate stress run, is always the same or higher than if optimal collateral distribution is used.

The approximate stress run is particularly suited to certain portfolios, in particular retail portfolios and portfolios containing the receivables from small- and medium-sized entities (SMBs).

Note Note

The approximate stress run allows you to calculate credit risk scenarios only and not scenarios of other data categories. If you enter a composite scenario in the approximate stress run, the system processes only the credit risk scenario contained in the composite scenario.

End of the note.

You can use credit risk scenario sets to calculate several risk scenarios in one run.

You can use the approximate stress run in parallel jobs.

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 for approximate stress runs. The use of credit risk scenario sets is optional.

    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   Approximate Stress Run  .

  • The results of 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 approximate stress run.

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

Process

To execute an approximate stress run, on the SAP Easy Access screen choose   Bank Analyzer   Processes and Methods   Credit Risk   Credit Exposure   Support for Stress Tests   Credit Risk Stress Tests   Approximate Stress Run  .

You can also schedule the approximate stress run as a background job.

In Customizing for Bank Analyzer under   Infrastructure   Calculation and Valuation Process Manager (CVPM)   Edit Step Sequences for Analytical Processes  , you can adjust the step sequence of this CVPM process, for example, by adding a module editor step or extracting the results to BI instead of to the RDL.

When it executes the process, the system performs the following steps:

  1. Parameter enrichment

    The system copies the Customizing settings that it needs to create a worklist, for example, the Customizing settings for the run type.

  2. Worklist creation

    The system reads the transactions in the scenario portfolio from the Results Data Layer (RDL).

  3. Data enrichment using scenario data

    The system reads the configuration settings for the credit risk scenario and stresses the scenario portfolio data accordingly.

  4. Save results in the RDL

    The results of a test run are not saved.

You can analyze the approximate stress runs in the CVPM process monitor, for example, by displaying the detailed logs.