Complete public function reference

In riskweightedassets: Reproducible Risk-Weighted Asset Calculations

knitr::opts_chunk$set(collapse = TRUE, comment = "#>")

Scope

This vignette is the task-oriented index for the complete public API of riskweightedassets 1.1.1. Every public function is listed below. Detailed arguments, return values, formulas, controls and runnable examples are provided by the corresponding R help page, for example help("sa_exposure_value", package = "riskweightedassets").

The API separates individual formulas from portfolio orchestration so that a bank analyst can inspect an input, select a rule set, apply a governed parameter override, reproduce a metric and inspect the resulting control trail. Formula structure itself remains version-controlled code; runtime parameter changes are accepted only through the explicit override interface.

End-to-end calculation and validation

| Function | Analyst purpose | |---|---| | calculate_tables() | Calculate applied and fully-loaded views from 68 canonical in-memory tables. | | calculate_dataset() | Validate and calculate a versioned workbook dataset and write controlled outputs. | | validate_dataset() | Validate a workbook dataset without running the calculation engines. |

Synthetic data, workspaces and source inventory

| Function | Analyst purpose | |---|---| | generate_synthetic_tables() | Create a complete synthetic bank profile as canonical data frames. | | generate_synthetic_dataset() | Materialise a synthetic profile as canonical workbooks. | | create_workspace() | Create a caller-selected, writable reference workspace. | | default_workspace() | Resolve the configured default workspace without creating it. | | list_reference_profiles() | List bundled synthetic bank profiles. | | list_reference_datasets() | List bundled reference-dataset metadata. | | regulatory_sources() | Inspect official-source URLs, dates, hashes and redistribution status. |

Parameters, rule sets, schemas and governance

| Function | Analyst purpose | |---|---| | regulatory_parameters() | Return the complete effective regulatory parameter table. | | regulatory_parameter() | Resolve one parameter for explicit dimensions and dates. | | override_regulatory_parameters() | Apply non-mutating, reasoned and approved parameter overrides. | | parameter_overrides() | Retrieve the old/new-value audit trail attached to a parameter set or result. | | formula_catalog() | Inspect formula identifiers, versions and implementation coverage. | | available_rule_sets() | List available applied and fully-loaded rule sets. | | select_rule_set() | Resolve one rule set by identifier and effective date. | | table_dictionary() | Inspect the canonical table inventory. | | table_schema() | Inspect the field-level contract for one canonical table. | | official_snapshot() | Select an official bitemporal snapshot reproducibly. |

Result inspection and reconciliation

| Function | Analyst purpose | |---|---| | rwa_metrics() | Return all headline metrics from a calculation result. | | rwa_metric() | Retrieve one named metric with strict name checking. | | rwa_result_tables() | Return all detailed result tables. | | rwa_result_table() | Retrieve one detailed result table by name. | | rwa_table_names() | List detailed result-table names. | | rwa_controls() | Return the complete reconciliation and control table. | | failed_controls() | Return only controls that did not pass. | | rwa_validation() | Return the structured validation report. | | compare_calculation_views() | Compare applied and fully-loaded metrics. | | rwa_summary() | Produce a compact analyst summary of metrics, controls and overrides. |

Domain analysis

Each domain function extracts the relevant metrics, tables and controls into a rwa_domain_analysis object without rerunning the calculation.

| Function | Domain | |---|---| | analyze_credit_risk() | Standardised and IRB credit risk, CRM and exposure results. | | analyze_counterparty_risk() | Counterparty credit risk, SFT, CCP, CVA and settlement risk. | | analyze_securitisation() | Securitisation approach selection and tranche calculations. | | analyze_market_risk() | Legacy and FRTB market-risk views. | | analyze_operational_risk() | Business indicator and operational-risk requirement. | | analyze_output_floor() | Shadow standardised TREA, floor factor and uplift. | | analyze_capital_adequacy() | Own funds, ratios, buffers, leverage, MREL and TLAC. | | analyze_irrbb() | EVE, NII, CSRBB and outlier-test measures. | | analyze_icaap() | Economic capital, diversification and normative projections. |

Standardised credit risk and credit risk mitigation formulas

| Function | Formula unit | |---|---| | sa_exposure_value() | On- and off-balance-sheet exposure value before CRM. | | sa_risk_weight() | Standardised credit-risk weight selection. | | real_estate_risk_weight() | Property exposure risk weight using class and ETV attributes. | | crm_maturity_factor() | Maturity mismatch adjustment for eligible protection. | | crm_adjusted_exposure() | Comprehensive-method exposure after haircuts and protection. |

IRB formulas

| Function | Formula unit | |---|---| | irb_asset_correlation() | Corporate/institution/sovereign asset correlation. | | irb_retail_correlation() | Retail asset correlation by retail subtype. | | irb_maturity_coefficient() | PD-dependent maturity coefficient. | | irb_maturity_factor() | Effective-maturity adjustment. | | irb_capital_requirement() | IRB unexpected-loss capital requirement and risk weight. |

Counterparty, SFT, CVA, settlement and securitisation formulas

| Function | Formula unit | |---|---| | sa_ccr_multiplier_value() | SA-CCR PFE multiplier. | | sa_ccr_exposure_value() | SA-CCR exposure at default. | | sft_exposure_value() | SFT comprehensive-method exposure value. | | cva_basic_approach_capital() | Basic-approach CVA capital requirement. | | settlement_risk_factor() | Settlement-delay risk factor. | | securitisation_irb_pool_capital() | IRB pool capital input for SEC-IRBA. | | securitisation_sa_pool_capital() | Standardised pool capital input for SEC-SA. | | securitisation_ssfa_coefficient() | Supervisory formula coefficient. | | securitisation_ssfa_risk_weight() | SSFA tranche risk weight. | | securitisation_irba_p() | SEC-IRBA supervisory parameter. | | securitisation_erba_risk_weight() | SEC-ERBA risk weight from rating and maturity. | | securitisation_risk_weight() | Governed hierarchy, floor and cap for tranche risk weight. |

Operational risk, output floor, NPE and Tier 2 formulas

| Function | Formula unit | |---|---| | business_indicator_component() | Marginal-coefficient business indicator component. | | applicable_output_floor_factor() | Transitional or fully-loaded output-floor factor. | | apply_output_floor() | Maximum of unfloored and floored TREA. | | npe_unsecured_coverage_factor() | Minimum unsecured NPE coverage factor. | | npe_secured_coverage_factor() | Minimum secured NPE coverage factor. | | tier2_eligible_amount() | Amortised eligibility of a Tier 2 instrument. |

IRRBB, aggregation and FRTB formulas

| Function | Formula unit | |---|---| | irrbb_scenario_shock() | Scenario shock by tenor and currency parameters. | | irrbb_shocked_zero_rate() | Shocked, floored zero rate. | | present_value_discount_factor() | Discount factor from zero rate and maturity. | | aggregate_correlated_capital() | Capital aggregation under a correlation matrix. | | frtb_scenario_correlation() | FRTB correlation under low, medium or high scenario. | | frtb_quadratic_charge() | Quadratic sensitivity charge with correlation safeguards. |

S3 methods and object behaviour

The package also registers five documented S3 methods. Users normally invoke the generic rather than calling the method directly.

| Method | Behaviour | |---|---| | print.rwa_calculation_result() | Print a concise calculation status and headline summary. | | print.rwa_domain_analysis() | Print one domain-analysis summary. | | print.rwa_validation_report() | Print validation counts and issues. | | as.data.frame.rwa_validation_report() | Convert validation issues to a stable data-frame contract. | | print.rwa_workspace() | Print resolved workspace paths. |

Controlled analyst example

library(riskweightedassets)

tables <- generate_synthetic_tables(bank_profile = "KSA_BANK")
overrides <- data.frame(
  parameter_key = "SA_RW",
  dimension_1 = "CORPORATE",
  dimension_2 = "UNRATED",
  parameter_value = 0.40
)

adjusted_tables <- override_regulatory_parameters(
  tables,
  overrides,
  reason = "Approved sensitivity scenario SCN-2026-09",
  approved_by = "Model Risk Committee decision 2026-09-14"
)

result <- calculate_tables(adjusted_tables)

rwa_summary(result)
failed_controls(result)
parameter_overrides(result)
analyze_credit_risk(result)

The package is a transparent analytical reference implementation. Use with a real institution requires independent legal interpretation, data governance, model validation, change approval and regulatory reporting controls.

riskweightedassets documentation built on Sept. 24, 2026, 5:12 p.m.