unsettled_transactions_failed_trades_default_approach

The default approach, set out in CRE70.

To calculate Credit RWA for risk posed by unsettled transactions and failed trades.

Classes:

UnsettledTransactionsFailedTradesDefaultApproach –

The default approach for calculating credit RWA for risk posed by unsettled transactions and failed trades.

UnsettledTransactionsFailedTradesDefaultApproach

The default approach for calculating credit RWA for risk posed by unsettled transactions and failed trades.

Methods:

compute_rwa –

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

compute_rwa(
    bank: Bank,
    date: date,
    scenario_manager: ScenarioManager,
) -> float

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