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operational_risk

Operational risk RWA approaches for BRMS bank simulation.

Modules:

  • rwa –

    Module defining classes for calculating Operational Risk Weighted Assets (RWA).

  • standardised_approach –

    The standardised approach, set out in OPE25.

Classes:

StandardisedApproach

Bases: RWAApproach

The standardised approach for calculating operational RWA.

Methods:

  • compute_rwa –

    Compute the Risk-Weighted Assets (RWA) for a given bank and scenario.

compute_rwa 

compute_rwa(
    bank: Any, date: date, scenario_manager: Any
) -> float

Compute the Risk-Weighted Assets (RWA) for a given bank and scenario.