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base

Module defining the abstract base class and components for computing Risk-Weighted Assets (RWA).

Classes:

  • RWAApproach –

    Abstract base class for computing Risk-Weighted Assets (RWA).

  • RWAComponent –

    Class to represent the Risk-Weighted Assets (RWA) component.

RWAApproach

Bases: ABC

Abstract base class for computing Risk-Weighted Assets (RWA).

Methods:

  • compute_rwa –

    Compute the Risk-Weighted Assets (RWA) for a given bank on a given date.

compute_rwa abstractmethod 

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

Compute the Risk-Weighted Assets (RWA) for a given bank on a given date.

RWAComponent 

RWAComponent(approach: RWAApproach | None = None)

Class to represent the Risk-Weighted Assets (RWA) component.

Methods:

  • allowed_approaches –

    Return a list of allowed RWA approaches.

  • compute_rwa –

    Compute the Risk-Weighted Assets (RWA) for a given bank on a given date.

Attributes:

approach property writable 

approach: RWAApproach | None

Get the RWA approach.

allowed_approaches abstractmethod classmethod 

allowed_approaches() -> list[type[RWAApproach]]

Return a list of allowed RWA approaches.

compute_rwa 

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

Compute the Risk-Weighted Assets (RWA) for a given bank on a given date.