irrbb_scenario_shock: IRRBB, FRTB and Economic-capital Formulae

In riskweightedassets: Reproducible Risk-Weighted Asset Calculations

IRRBB, FRTB and Economic-capital Formulae

Description

IRRBB, FRTB and Economic-capital Formulae

Usage

irrbb_scenario_shock(scenario, t, parallel, short, long, parameters = NULL)

irrbb_shocked_zero_rate(base, shock, t, parameters = NULL)

present_value_discount_factor(continuous_zero_rate, t)

aggregate_correlated_capital(capitals, correlation)

frtb_scenario_correlation(base, scenario, parameters = NULL)

frtb_quadratic_charge(values, correlation, curvature = FALSE)

Arguments

scenario	IRRBB or FRTB correlation scenario.
t	Time in years.
parallel, short, long	Scenario shocks as decimal rates.
parameters	Optional parameter data frame or store.
base	Base continuously compounded zero rate or base correlation.
shock	Rate shock.
continuous_zero_rate	Continuously compounded zero rate.
capitals	Vector of standalone capital amounts.
correlation	Correlation matrix or scalar intra-bucket correlation.
values	Weighted sensitivities.
curvature	Whether curvature aggregation applies.

Value

Numeric shock, rate, discount factor or aggregated capital.

Examples

present_value_discount_factor(0.03, 5)
aggregate_correlated_capital(c(10, 20), matrix(c(1, .25, .25, 1), 2))

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