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rwa

Module defining classes for calculating Credit Risk Weighted Assets (RWA).

Classes:

CreditRWACounterpartyCreditRisk 

CreditRWACounterpartyCreditRisk(
    approach: RWAApproach | None = None,
)

Bases: RWAComponent

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

Methods:

  • allowed_approaches –

    Return a list of allowed RWA approaches for Credit Risk.

  • compute_rwa –

    Compute the Risk-Weighted Assets (RWA) for a given bank on a given date.

Attributes:

approach property writable 

approach: RWAApproach | None

Get the RWA approach.

allowed_approaches classmethod 

allowed_approaches() -> list[type[RWAApproach]]

Return a list of allowed RWA approaches for Credit Risk.

compute_rwa 

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

Compute the Risk-Weighted Assets (RWA) for a given bank on a given date.

CreditRWAExposuresToCentralCounterparties 

CreditRWAExposuresToCentralCounterparties(
    approach: RWAApproach | None = None,
)

Bases: RWAComponent

RWA for exposures to central counterparties in the banking book and trading book.

Methods:

  • allowed_approaches –

    Return a list of allowed RWA approaches for Credit Risk.

  • compute_rwa –

    Compute the Risk-Weighted Assets (RWA) for a given bank on a given date.

Attributes:

approach property writable 

approach: RWAApproach | None

Get the RWA approach.

allowed_approaches classmethod 

allowed_approaches() -> list[type[RWAApproach]]

Return a list of allowed RWA approaches for Credit Risk.

compute_rwa 

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

Compute the Risk-Weighted Assets (RWA) for a given bank on a given date.

CreditRWAForBankingBookExposures 

CreditRWAForBankingBookExposures(
    approach: RWAApproach | None = None,
)

Bases: RWAComponent

Credit RWA for banking book exposures.

Methods:

  • allowed_approaches –

    Return a list of allowed RWA approaches for Credit Risk.

  • compute_rwa –

    Compute the Risk-Weighted Assets (RWA) for a given bank on a given date.

Attributes:

approach property writable 

approach: RWAApproach | None

Get the RWA approach.

allowed_approaches classmethod 

allowed_approaches() -> list[type[RWAApproach]]

Return a list of allowed RWA approaches for Credit Risk.

compute_rwa 

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

Compute the Risk-Weighted Assets (RWA) for a given bank on a given date.

CreditRWAForEquityInvestmentsInFunds 

CreditRWAForEquityInvestmentsInFunds(
    approach: RWAApproach | None = None,
)

Bases: RWAComponent

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

Methods:

  • allowed_approaches –

    Return a list of allowed RWA approaches for Credit Risk.

  • compute_rwa –

    Compute the Risk-Weighted Assets (RWA) for a given bank on a given date.

Attributes:

approach property writable 

approach: RWAApproach | None

Get the RWA approach.

allowed_approaches classmethod 

allowed_approaches() -> list[type[RWAApproach]]

Return a list of allowed RWA approaches for Credit Risk.

compute_rwa 

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

Compute the Risk-Weighted Assets (RWA) for a given bank on a given date.

CreditRWASecuritisationExposures 

CreditRWASecuritisationExposures(
    approach: RWAApproach | None = None,
)

Bases: RWAComponent

RWA for securitisation exposures held in the banking book.

Methods:

  • allowed_approaches –

    Return a list of allowed RWA approaches for Credit Risk.

  • compute_rwa –

    Compute the Risk-Weighted Assets (RWA) for a given bank on a given date.

Attributes:

approach property writable 

approach: RWAApproach | None

Get the RWA approach.

allowed_approaches classmethod 

allowed_approaches() -> list[type[RWAApproach]]

Return a list of allowed RWA approaches for Credit Risk.

compute_rwa 

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

Compute the Risk-Weighted Assets (RWA) for a given bank on a given date.

CreditRWAUnsettledTransactionsFailedTrades 

CreditRWAUnsettledTransactionsFailedTrades(
    approach: RWAApproach | None = None,
)

Bases: RWAComponent

RWA for the risk posed by unsettled transactions and failed trades.

Methods:

  • allowed_approaches –

    Return a list of allowed RWA approaches for Credit Risk.

  • compute_rwa –

    Compute the Risk-Weighted Assets (RWA) for a given bank on a given date.

Attributes:

approach property writable 

approach: RWAApproach | None

Get the RWA approach.

allowed_approaches classmethod 

allowed_approaches() -> list[type[RWAApproach]]

Return a list of allowed RWA approaches for Credit Risk.

compute_rwa 

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

Compute the Risk-Weighted Assets (RWA) for a given bank on a given date.

RWACreditRisk 

RWACreditRisk()

Class for calculating Credit Risk Weighted Assets (RWA) for various exposure types.

Methods:

compute_rwa 

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

Compute the total Credit RWA for the bank under the given scenario.

set_approach_for_banking_book_exposures 

set_approach_for_banking_book_exposures(
    approach: RWAApproach,
) -> None

Set the approach for banking book exposures.

set_approach_for_counterparty_credit_risk 

set_approach_for_counterparty_credit_risk(
    approach: RWAApproach,
) -> None

Set the approach for counterparty credit risk.

set_approach_for_equity_investments_in_funds 

set_approach_for_equity_investments_in_funds(
    approach: RWAApproach,
) -> None

Set the approach for equity investments in funds.

set_approach_for_exposures_to_central_counterparties 

set_approach_for_exposures_to_central_counterparties(
    approach: RWAApproach,
) -> None

Set the approach for exposures to central counterparties.

set_approach_for_securitisation_exposures 

set_approach_for_securitisation_exposures(
    approach: RWAApproach,
) -> None

Set the approach for securitisation exposures.

set_approach_for_unsettled_transactions_failed_trades 

set_approach_for_unsettled_transactions_failed_trades(
    approach: RWAApproach,
) -> None

Set the approach for unsettled transactions and failed trades.