internal_ratings_based_approach

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

To calculate credit RWA for banking book exposures.

Classes:

InternalRatingsBasedApproach –

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

InternalRatingsBasedApproach

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

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