securitisation_external_ratings_based_approach

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

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

Classes:

• SecuritisationExternalRatingsBasedApproach –

  SEC-ERBA for calculating credit RWA.

SecuritisationExternalRatingsBasedApproach

Bases: RWAApproach

SEC-ERBA 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.