irb_asset_correlation: Internal Ratings Based Formulae

In riskweightedassets: Reproducible Risk-Weighted Asset Calculations

Internal Ratings Based Formulae

Description

Direct access to IRB asset correlations, maturity adjustment and capital requirement. Probability, LGD and correlation inputs are decimal rates.

Usage

irb_asset_correlation(
  pd,
  annual_sales_million = NULL,
  financial_multiplier = FALSE,
  parameters = NULL
)

irb_retail_correlation(pd, subclass, parameters = NULL)

irb_maturity_coefficient(pd, parameters = NULL)

irb_maturity_factor(pd, maturity, parameters = NULL)

irb_capital_requirement(
  pd,
  lgd,
  correlation,
  maturity,
  apply_maturity_adjustment = TRUE,
  defaulted = FALSE,
  elbe = 0,
  parameters = NULL
)

Arguments

pd	Probability of default.
annual_sales_million	Optional annual sales in millions.
financial_multiplier	Whether to apply the financial-sector multiplier.
parameters	Optional parameter data frame or store.
subclass	Retail exposure subclass.
maturity	Effective maturity in years.
lgd	Loss given default.
correlation	Asset correlation.
apply_maturity_adjustment	Whether the maturity adjustment applies.
defaulted	Whether the exposure is defaulted.
elbe	Best estimate of expected loss for a defaulted exposure.

Value

One numeric coefficient or capital-requirement rate.

See Also

regulatory_parameters()

Examples

irb_asset_correlation(0.01)
irb_capital_requirement(0.01, 0.45, 0.20, 2.5, TRUE, FALSE, 0)

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