sa_exposure_value: Standardised Credit-risk and CRM Formulae

In riskweightedassets: Reproducible Risk-Weighted Asset Calculations

Standardised Credit-risk and CRM Formulae

Description

Granular, side-effect-free formulae for exposure value, risk weights, real estate treatment and credit-risk mitigation. Rates and weights are decimals. Monetary inputs and outputs use one caller-selected currency consistently.

Usage

sa_exposure_value(
  gross_carrying_amount,
  specific_adjustments = 0,
  additional_valuation_adjustments = 0,
  other_own_funds_reductions = 0,
  committed_undrawn = 0,
  annex_i_class,
  data_path = "GROSS_COMPONENTS",
  net_carrying_amount_article_111 = NULL,
  parameters = NULL
)

sa_risk_weight(
  exposure_class,
  cqs = NULL,
  short_term = FALSE,
  transactor = FALSE,
  retail_eligible = FALSE,
  defaulted = FALSE,
  default_coverage_ratio = 0,
  specialised_lending_type = "",
  parameters = NULL
)

real_estate_risk_weight(
  ead,
  property_value,
  property_type,
  ipre,
  counterparty_rw,
  senior_liens = 0,
  adc = FALSE,
  parameters = NULL
)

crm_maturity_factor(t_protection, t_exposure, minimum_t = 0.25, maximum_T = 5)

crm_adjusted_exposure(exposure, collateral, he, hc, hfx)

Arguments

gross_carrying_amount, specific_adjustments, additional_valuation_adjustments, other_own_funds_reductions	Monetary amounts.
committed_undrawn	Undrawn commitment amount.
annex_i_class	CRR Annex I conversion-factor class.
data_path	"GROSS_COMPONENTS" or "NET_ARTICLE_111".
net_carrying_amount_article_111	Optional net carrying amount.
parameters	Optional parameter data frame or rwa_parameter_store; bundled regulatory parameters are used by default.
exposure_class, cqs	Exposure class and credit-quality step.
short_term, transactor, retail_eligible, defaulted	Logical classification flags.
default_coverage_ratio	Coverage ratio for defaulted exposures.
specialised_lending_type	Optional specialised-lending category.
ead, property_value, senior_liens	Monetary real-estate inputs.
property_type	Property category.
ipre, adc	Logical real-estate flags.
counterparty_rw	Counterparty risk weight.
t_protection, t_exposure, minimum_t, maximum_T	Maturity-mismatch inputs in years.
exposure, collateral	Exposure and collateral values.
he, hc, hfx	Exposure, collateral and currency haircuts.

Value

Numeric value, named numeric vector, or documented list depending on the formula.

See Also

regulatory_parameters(), override_regulatory_parameters()

Examples

sa_exposure_value(100, 2, 0, 0, 40, "CLASS_2", "GROSS_COMPONENTS")
crm_adjusted_exposure(100, 60, 0.05, 0.10, 0.08)

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