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look_through_approach

The look-through approach, set out in CRE60.

To calculate Credit RWA for equity investments in funds that are held in the banking book.

Classes:

LookThroughApproach

Bases: RWAApproach

The look-through approach 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.