Simulating defaults

Use Case

You want to simulate that your three largest borrowers suddenly default.

The files for this use case can be downloaded here:

The above situation has an impact on the balance sheet item ‘Receivables from customers’, which currently shows the following value:

Business figure	Account number	Amount
Receivables from customers	100030	100,000.00

The simulation of the default of the three largest borrowers can be called up using the Default of Borrowers function in the Control File as follows:

CODE

[100030] - Default of borrowers largest 3 volumes

To simulate the default, the following data is provided:

Customer	Customer ID	Customer Type	Volume	Rating	Scoring
Customer_123	11000123	bank	3,600.00	AA+
Customer_124	11000124	bank	2,400.00	A
Customer_125	11000126	private	2,200.00		100
Customer_126	11000127	bank	1,800.00	AA-
…	…	…	…	…	…

The new value of the balance sheet item ‘Receivables from customers’ then amounts to:
100,000.00 - 3,600.00 - 2,400.00 - 2,200.00 = 91,800.00.

You want to simulate that only debtor Customer_126 is threatened by default. The probability of default is estimated at 70%.

The calculation can be called up using the Default of Borrowers function in the Control File as follows:

CODE

[100031] - Default of borrowers list of (Customer_126) * 0.7

The new value of the balance sheet item ‘Receivables from customers - variant’ then amounts to
100,000.00 - 1,800.00 * 0.7 = 98,740.00.