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internal_assessment_approach

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

To calculate Credit RWA for securitisation exposures held in the banking book.

Classes:

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

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