rwa

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

Classes:

• OpertionalRWA –

  Operational RWA.

• RWAOperationalRisk –

  Class for calculating Operational Risk Weighted Assets (RWA).

OpertionalRWA

OpertionalRWA(approach: RWAApproach | None = None)

Bases: RWAComponent

Operational RWA.

Methods:

• allowed_approaches –

  Return a list of allowed RWA approaches for Operational Risk.

• compute_rwa –

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

Attributes:

• approach (RWAApproach | None) –

  Get the RWA approach.

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 Operational 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.

RWAOperationalRisk

RWAOperationalRisk()

Class for calculating Operational Risk Weighted Assets (RWA).

Methods:

• compute_rwa –

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

• set_approach_for_operational_rwa –

  Set the approach for operational RWA.

compute_rwa

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

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

set_approach_for_operational_rwa

set_approach_for_operational_rwa(
    approach: RWAApproach,
) -> None

Set the approach for operational RWA.