central_counterparties_default_approach

The default approach, set out in CRE54.

To calculate Credit RWA for exposures to central counterparties in the banking book and trading book.

Classes:

CentralCounterpartyRiskDefaultApproach –

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

CentralCounterpartyRiskDefaultApproach

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

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