Dear experts,
My client would like to implement new rules for its credit risk analyser:
Different limit types (< 1 week, < 1 year, < 5 years, < 10 years) will be maintained per business partner ratings in money market (Limit product group MM)and per issuer rating for securities (Limit product group SEC)
Example:
Issuer < 1 week < 1 year < 5 years < 10 years
S&P Moody's
AAA Aaa 600,000,000.00 400,000,000.00 300,000,000.00 200,000,000.00
AA+ Aa1 600,000,000.00 400,000,000.00 300,000,000.00 200,000,000.00
AA Aa2 500,000,000.00 250,000,000.00 150,000,000.00 75,000,000.00
.... etc
BBB+ Baa3 0.00 0.00 0.00 0.00
No rating 100,000,000.00 75,000,000.00 50,000,000.00 25,000,000.00
Do you have an idea on how we can implement that easily ?
Many thanks for your precious advices.
Best regards,
Philippe.