counterparty_risk_default_approach

The default approach, set out in CRE51.

To calculate Credit RWA for counterparty credit risk arising from banking book exposures and from trading book instruments.

Classes:

CounterpartyRiskDefaultApproach –

The default approach for calculating credit RWA for counterparty risk.

CounterpartyRiskDefaultApproach

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

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