The SAP Bank Analyzer application Credit Risk Analyzer is used to measure, analyze and manage credit default risks and to determine the regulatory capital requirements in accordance with the principles of the Basel Committee on Banking Supervision and Solvency Regulation SolvV.
With the Credit Risk Analyzer, SAP provides the infrastructure for determining the credit risk in the form of credit exposure. The calculation is based on the following approaches:
• Standard approach
• Basic IRB approach
• Advanced IRB Approach
In the standard approach (CRSA) external ratings of known rating agencies such as Standard & Poor's, Moody's or Fitch are used to determine the credit risk.
In the IRB (internal rating based) approaches, the risk assessment is carried out by means of internal rating models, which, however, require approval by the banking supervisory authority. The objective of the internal-rated-based approach is the reduction of equity capital by using recognized risk-reducing collaterals.
The credit risk analyzer's infrastructure calculates results based on the approaches used e.g. the indicator EAD (Exposure at Default). This is done depending on your chosen customizing settings for the different calculation levels of the Credit Risk Analyzer. Calculations can be carried out both at the level of the (individual) financial transaction to determine the EAD (Exposure at Default) as well as taking account of collateral instruments in connection with the determination of the regulatory capital requirement.
The Credit Risk Analyzer is integrated in SAP Bank Analyzer with its modular Integrated Finance and Risk Data Platform (FRDP) on HANA. This allows the integrated and consistent data retention in the source data layer (SDL), access to this data by the applications such as e.g. Credit Risk Analyzer and the storage of the calculation results in the central results data area (RDL).
Gwantec is looking forward to support you in the design and implementation of your CRA solution classic or on HANA.