business_indicator_component: Operational Risk, Output Floor, NPE and Tier-2 Formulae

In riskweightedassets: Reproducible Risk-Weighted Asset Calculations

Operational Risk, Output Floor, NPE and Tier-2 Formulae

Description

Operational Risk, Output Floor, NPE and Tier-2 Formulae

Usage

business_indicator_component(
  il,
  ie,
  assets,
  dividends,
  oi,
  oe,
  fi,
  fe,
  trading_pnl,
  banking_pnl,
  parameters = NULL
)

applicable_output_floor_factor(as_of, fully_loaded = FALSE, parameters = NULL)

apply_output_floor(
  u_trea,
  s_trea,
  factor,
  optional_cap = FALSE,
  cap_multiplier = 1
)

npe_unsecured_coverage_factor(year, parameters = NULL)

npe_secured_coverage_factor(year, property_security = TRUE, parameters = NULL)

tier2_eligible_amount(
  current_amount,
  first_day_amount,
  maturity,
  as_of,
  parameters = NULL
)

Arguments

il, ie, assets, dividends, oi, oe, fi, fe, trading_pnl, banking_pnl	Numeric vectors for the business-indicator components.
parameters	Optional parameter data frame or store.
as_of	Reporting date.
fully_loaded	Whether to return the fully-loaded floor factor.
u_trea	Unfloored TREA.
s_trea	Standardised TREA.
factor	Output-floor factor.
optional_cap	Whether an optional cap applies.
cap_multiplier	Cap multiple of unfloored TREA.
year	NPE vintage year.
property_security	Whether secured by property.
current_amount, first_day_amount	Tier-2 instrument amounts.
maturity	Tier-2 maturity date.

Value

Numeric, named numeric vector, or output-floor result list.

Examples

apply_output_floor(100, 180, 0.725, FALSE, 1)
applicable_output_floor_factor(as.Date("2026-12-31"), FALSE)

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