mandate_based_approach

The mandate-based approach, set out in CRE60.

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

Classes:

MandateBasedApproach –

The mandate-based approach for calculating credit RWA.

MandateBasedApproach

The mandate-based 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.