1. User Guide
  2. Business Rules Administration
  3. ECL Rules
  4. Risk Factors Assignment Rules
  5. Risk Factor Assignment Rule Summary Page
  6. Create Risk Factor Assignment Rule

Create Risk Factor Assignment Rule

Perform the following steps to create Risk Factor Assignment Rule:

  1. On the Risk Factor Adjustment Summary page, click the Add icon to open the Risk Factor Adjustment window.
  2. Populate the Risk Factor Adjustment form as tabulated:

    Table 4-60 Term Structure and Provision Rate Assignment Rules

    Field Description
    Name Enter a name.
    Description Enter a description for the definition.
    Folder Select a folder from the drop-down list.
    Modelling Set Select a Modelling Set from the drop-down list.
    Economic Scenario Rule Select an Economic Scenario Rule from the drop-down list.
    Product Hierarchy This field is selected by default.
    Term Structure Category Select any term structure category. The available options are:
    • PD
    • LGD
    • CCF
    • Provision Matrix Rule
    • Roll Rate Rule
    The PD option is selected by default.

    Note:

    At least one Term Structure Category must be selected, if you attempt to deselect all the options, then a pop-up message appears asking you to select at least one term structure category.
    Product (table) Depending on the selected term structure category, the columns are either enabled or disabled. For example, if the PD term structure category is not selected, then the PD-Term Structure Rule, PD-Interpolation, and the PD-Extrapolation columns are disabled.
    Select a value from the drop-down list for the enabled columns based on the term structure category that was selected.

    Note:

    For the Term Structure Category PD, in the PD-Interpolation column drop-down list if the value Arithmetic selected, then in the PD-Extrapolation column drop-down list, the options Arithmetic and Default-Arithmetic are availabe. Similarly, in the PD-Interpolation column drop-down list, if Geometric or Poission is selected, then the options will be Geometric and Default-Geometric and Poission and Default-Poission, respectively.

    Use the Search field to search for a Product by its name.

    You can also click the Go to List View or Go to Tree View icon to toggle between the list views.

    In the Conditional Assumption column, click the Set Conditional Assumption icon to open the Conditional Assumption window. In this window:
    1. Select a value from the field as per the dimension that was selected in the Modelling Set.

      The column is populated with the selected dimension.

    2. Select a value from the drop-down list for the enabled columns based on the term structure category that was selected.

      Depending on the selected term structure category, the columns are either enabled or disabled. For example, if the PD term structure category is not selected, then the PD-Term Structure Rule, PD-Interpolation, and the PD-Extrapolation columns are disabled.

      The Conditional Assumptions Based on Dimensions column has the status as Not Defined. When the values in this and the Industry table are configured, then the status in this column changes to Defined.

    3. Expand the arrow next to the Customer Type to open the Industry table.
    4. In the Industry column, select an industry from the drop-down list.
    5. Select a value from the drop-down list for the enabled columns based on the term structure category that was selected.
    6. Additionally, click the Add icon to add more Industry details.
    7. To delete an Industry row, select the rows and then click the Delete icon.
    8. Click Apply.

      Depending on the selected term structure category, you can add values in the available rows. If a row has only a few fields configured, then the application does not let you apply the settings and highlights the fields in the row that must be configured.

    You are navigated back to the Create page and the status in the Status column for a configured product is updated.

  3. Click Save to save the Risk Factor Assignment Rule or click Cancel to exit this window.