credit_risk

Credit risk RWA approaches for BRMS bank simulation.

Modules:

• central_counterparties_default_approach –

  The default approach, set out in CRE54.

• counterparty_risk_default_approach –

  The default approach, set out in CRE51.

• fall_back_approach –

  The fall-back approach, set out in CRE60.

• internal_assessment_approach –

  The Internal Assessment Approach (IAA), set out in CRE40 to CRE45.

• internal_ratings_based_approach –

  The internal ratings-based (IRB) approach, set out in CRE30 to CRE36.

• look_through_approach –

  The look-through approach, set out in CRE60.

• mandate_based_approach –

  The mandate-based approach, set out in CRE60.

• rwa –

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

• secrutisation_internal_ratings_based_approach –

  The Securitisation Internal Ratings-Based Approach (SEC-IRBA), set out in CRE40 to CRE45.

• securitisation_external_ratings_based_approach –

  The Securitisation External Ratings-Based Approach (SEC-ERBA), set out in CRE40 to CRE45.

• securitisation_standardised_approach –

  The Securitisation Standardised Approach (SEC-SA), set out in CRE40 to CRE45.

• standardised_approach –

  The standardised approach, set out in CRE20 to CRE22.

• unsettled_transactions_failed_trades_default_approach –

  The default approach, set out in CRE70.

Classes:

• CentralCounterpartyRiskDefaultApproach –

  The default approach for calculating credit RWA for exposures to central counterparties.

• CounterpartyRiskDefaultApproach –

  The default approach for calculating credit RWA for counterparty risk.

• FallBackApproach –

  The fall-back approach for calculating credit RWA.

• InternalAssessmentApproach –

  IAA for calculating credit RWA.

• InternalRatingsBasedApproach –

  The internal ratings-based (IRB) approach for calculating credit RWA.

• LookThroughApproach –

  The look-through approach for calculating credit RWA.

• MandateBasedApproach –

  The mandate-based approach for calculating credit RWA.

• SecuritisationExternalRatingsBasedApproach –

  SEC-ERBA for calculating credit RWA.

• SecuritisationInternalRatingsBasedApproach –

  SEC-IRBA for calculating credit RWA.

• SecuritisationStandardisedApproach –

  SEC-SA for calculating credit RWA.

• StandardisedApproach –

  The standardised approach for calculating credit RWA.

• UnsettledTransactionsFailedTradesDefaultApproach –

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

CentralCounterpartyRiskDefaultApproach

Bases: RWAApproach

The default approach for calculating credit RWA for exposures to central counterparties.

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.

CounterpartyRiskDefaultApproach

Bases: RWAApproach

The default approach for calculating credit RWA for counterparty risk.

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.

FallBackApproach

Bases: RWAApproach

The fall-back approach for calculating credit 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.

InternalAssessmentApproach

Bases: RWAApproach

IAA for calculating credit 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.

InternalRatingsBasedApproach

Bases: RWAApproach

The internal ratings-based (IRB) approach for calculating credit 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.

LookThroughApproach

Bases: RWAApproach

The look-through approach for calculating credit 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.

MandateBasedApproach

Bases: RWAApproach

The mandate-based approach for calculating credit 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.

SecuritisationExternalRatingsBasedApproach

Bases: RWAApproach

SEC-ERBA for calculating credit 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.

SecuritisationInternalRatingsBasedApproach

Bases: RWAApproach

SEC-IRBA for calculating credit 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.

SecuritisationStandardisedApproach

Bases: RWAApproach

SEC-SA for calculating credit 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.

StandardisedApproach

Bases: RWAApproach

The standardised approach for calculating credit 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,
    verbose: bool = False,
) -> float

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

UnsettledTransactionsFailedTradesDefaultApproach

Bases: RWAApproach

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

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

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