secrutisation_internal_ratings_based_approach

The Securitisation Internal Ratings-Based Approach (SEC-IRBA), set out in CRE40 to CRE45.

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

Classes:

• SecuritisationInternalRatingsBasedApproach –

  SEC-IRBA for calculating credit RWA.

SecuritisationInternalRatingsBasedApproach

Bases: RWAApproach

SEC-IRBA 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.