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Object documentationCredit Risk Scenario Set Locate this document in the navigation structure

 

Group of credit risk scenarios.

You edit credit risk scenario sets on the user interface in SAP NetWeaver Business Client or SAP NetWeaver Portal under   Credit Risk Stress Tests   Definition   Manage Credit Risk Scenario Sets   or in Customizing for Bank Analyzer under   Processes and Methods   Credit Risk   Credit Risk Stress Tests   Configuration   Edit Credit Risk Scenario Sets  .

 

You have the option of grouping multiple credit risk scenarios in a credit risk scenario set and triggering the calculation – usually in a background job – of the stressed results of these scenarios. Since the system calculates several credit risk scenarios in one run, data is selected and enriched only once. This improves the system's performance because scenarios are calculated in one run as opposed to several individual runs.

Structure

You can assign one or more credit risk scenarios to a credit risk scenario set. However, you cannot assign scenarios of other data categories, such as market data or business partner scenarios.

Integration

You must have multiple credit risk scenarios to be able to create a credit risk scenario set.

When you create a credit risk scenario set, the system creates an entry with the same name in the table for simple scenarios used for general scenario management (see Scenario).

You can include credit risk scenario sets directly in the approximate stress run or indirectly in the credit exposure stress run and credit exposure stress run with online selection in a composite scenario. The ad hoc calculation cannot process any credit risk scenario sets.

To include a credit risk scenario set in a composite scenario, choose Customizing for Bank Analyzer   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.

Note Note

We recommend that you do not include a credit risk scenario and a credit risk scenario set in the same composite scenario.

End of the note.

More Information

Manage Credit Risk Scenario Sets (NetWeaver Portal Content documentation)