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standardised_approach

The standardised approach, set out in OPE25.

To calculate operational RWA.

Classes:

  • FCCalculator –

    Calculator for the Financial Component (FC).

  • ILDCCalculator –

    Calculator for the Interest, Leases, and Dividend Component (ILDC).

  • LCCalculator –

    Calculator for the Loss Component (LC).

  • SCCalculator –

    Calculator for the Services Component (SC).

  • StandardisedApproach –

    The standardised approach for calculating operational RWA.

FCCalculator

Calculator for the Financial Component (FC).

Methods:

  • compute –

    Compute the Financial Component (FC).

compute staticmethod 

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

Compute the Financial Component (FC).

FC is the sum of the following two: 1. 3yr_avg(abs(net P&L trading book)) 1. 3yr_avg(abs(net P&L banking book))

ILDCCalculator

Calculator for the Interest, Leases, and Dividend Component (ILDC).

Methods:

  • compute –

    Compute the Interest, Leases, and Dividend Component (ILDC).

compute staticmethod 

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

Compute the Interest, Leases, and Dividend Component (ILDC).

ILDC is the sum of the following two: 1. the minimum of - 3yr_avg(abs(interest income - interest expense)) - 3yr_avg(interest earning assets) * 2.25% 2. 3yr_avg(dividend income)

LCCalculator

Calculator for the Loss Component (LC).

Methods:

  • compute –

    Compute the Loss Component (LC).

compute staticmethod 

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

Compute the Loss Component (LC).

LC is equal to 15 times average annual operational risk losses incurred over the previous 10 years

SCCalculator

Calculator for the Services Component (SC).

Methods:

  • compute –

    Compute the Services Component (SC).

compute staticmethod 

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

Compute the Services Component (SC).

SC is the sum of the following two: 1. the maximum of - 3yr_avg(other operating income) - 3yr_avg(other operating expense) 2. the maximum of - 3yr_avg(fee income) - 3yr_avg(fee expense)

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.