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SAP 金融风险管理模块中Credit and Debit Value Adjustments的计算方法

原创 ERP 作者:张国平 时间:2019-01-26 20:49:08 1 删除 编辑

SAP TRM(TReasury)中,提供了CVA/DVA(Credit and Debit Value Adjustments)的支持;所谓CVA/DVA是对金融产品记账时候,对于考虑到客户的信用对借出金融产品,比如investment进行价值调整(Credit Value Adjustments);同时对于借入的金融产品进行价值调整,比如borrowing,这个就是(Debit Value Adjustments), 有意思的是,存在因为自身风险增大,而造成借入减计,产生profit情况。现在的会计准则,这些都会计入其他综合受益(OCI)。

 

 

SAP提供两种计算CVA/DVA调整实现方法,

一个是通过 Credit Spread Curve和Yield Curve组合成综合composite Curve,来进行金融资产with risk 的带风险的NPV计算。这里Credit Spread就是客户或者自己的PD*LPG(损失率*损失发生几率)

还有一个就是基于可预见的风险资产,和PD*LPG乘积,算出可能损失金额,和没有考虑风险的RISK Free NPV进行相减,得出带风险的NPV。

下面的是内部分析的英文

Since the financial crisis, counterparty risk has become more prominent. Notably, the IFRS13 accounting standard requires companies to value OTC derivatives including credit value adjustments (CVA) and debit value adjustments (DVA).

•The CVA accounts for the possibility of a default by the counterparty : It is subtracted from the risk-free fair value

•The DVA accounts for the possibility of a default by your own company: Its absolute value is added to the risk-free fair value. (With the convention that the DVA is negative, this corresponds to a subtraction of the DVA.)

 

The risk-free fair value and the CVA/DVA contribute to the fair value: NPV = Risk-Free NPV – CVA – DVA

 

Calculation Methods for Credit and Debit Value Adjustments

  1. Difference Method (Method 1)(1708           delivery already)
             
              With this method,      the system first calculates the (risk-based) NPV      using      the yield curve stored in the evaluation type. If you have also made           the settings for credit spreads, the system also      takes credit      spreads into account when calculating the NPV (in a composite           yield curve).
             
              In this way, the      system calculates the risk-free NPV with the      risk-free      yield curve stored in the evaluation type.
                        The CVA or DVA is the difference      between the risk-free NPV and the      (risk-based)      NPV:
                        Risk-free NPV - NPV = CVA or DVA

Composite Curve 
Definition 
Composite curve is the com osition of one yield curve and: 
(zero to many) basis spread curve 
(zero or one) credit spread curve 
Calculation is done with com osite curve. 
5 
4 
3 
2 
1 
0 
1 
2 
3 
4 
5 
0 2015 SAP SE or an SAP affiliate company. All rights reserved. 
Early Knowledge Transfer 
---Composite Curve 
—Yield Curve 
—Basis Spread Curve 
—Credit Spread Curve 
Customer

  1. Based on Expected Exposures (Method           2, 1711)
             
              With this method,      the system calculates the risk-free NPV on the      basis      of the risk-free yield curve that is assigned in the relevant           evaluation type. The system      calculates the CVA/DVA      separately. First of all, the      expected exposures for a set of future dates      are      calculated (or entered manually), aggregated, and weighted with the           product of default probability (AWKT or PD) and loss given      default (LGD).
  2.  Constant Exposure Approach ,            with which the risk-free NPV is calculated for the      evaluation date and       then for which it is assumed that      it remains constant over time (->       always the same      expected exposure for all future dates) .
  3. Variable Exposure Approach , with            which the NPV is calculated for all future dates      (changing horizon) with       a constant evaluation date.      In this case, the expected exposures can vary       over      time.

(ti_l 
CVA = 
DVA = 
LGDc 
LGDI 
(ti_l

 

          

Where

  • LGD = loss given default
  • D = discount           factor
  • t = time
  • AWKT=      PD  = default probability
  • C in           subscript = business partner
  • I in           subscript = your own company
  • EPE =           expected positive exposure, evaluation time risk-free NPV
  • ENE=           expected negative exposure, evaluation time risk-free NPV
  • EPE and CVA           are positive, Incoming payment in future
  • ENE and DVA           are negative, outgoing payment in future

系统配置并不是很多,简单示意如下

Settings for the Calculation of Credit and Debit Value Adjustments 
Define Expected Exposure Types 
Define Credit and Debit Value Adjustment Types 
Define Add-On Factors 
BAdI: Get Percentage of Collateralization 
Spread Curves Derivation

 

Change View "Credit and Debit Value Adjustment Types": Overview 
New Entries 
Credit and Debit Value Adjustment Types 
CVA/DVA Ty... Calc.Meth. 
YOI 
Y02 
Y03 
C Difference Method 
E Based on Expected 
E Based on Expected 
Exposures 
Exposures 
Alloc.Meth 
G Gross Relative Fair Value App 
Net Relative Fair Value Appro 
EE Type 
Y02 
YOI 
Long Name 
Difference Method 
CVA/DVA based on expected exposures Variable, Gross 
A/DVA based on expected exposures Constant, Netl

  • Gross Relative Fair Value Approach
              CVA and DVA are distributed across all transactions of the netting      group in proportion to the NPV (fair value) of the transactions.
  • Net Relative Fair Value Approach
              The system proportionally distributes CVA across the transactions      with a positive NPV (fair value), and DVA across those with a negative NPV      (fair value).

Change View "Expected Exposure Types Definition": Overview 
New Entries 
Expected Exposure Types Definition 
EE CalcMet 
EE Type 
Maturity Band 
YOOI 
YOOI 
YOOI 
Add-On 
YOI 
Y02 
Y03 
CEA 
Long Name 
01 Constant exposure approach 
02 Variable Exposure approach 
03 Manual Enter/

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