README.md

In dandermotj/basel: Implementation of the Basel III Risk Weight Functions

Basel

Basel is an R package for calculating capital requirements according to the Basel Accords. The Basel Committee recognise three major components of risk for a banks that, for which it requires banks to hold regulatory capital for:

• Credit risk
• Market risk
• Operational risk

For easy reference to the many papers, discussions and FAQs by the Basel Committee see the Banking of International Settlements (BIS) publications.

Credit Risk

Three approaches are:

1. Standardised Approach
2. Foundation IRB
3. Advanced IRB

See the explanatory note on the IRB risk weights.

Market Risk

BIS paper on minimum capital requirements for Market Risk

Counter Party Credit Risk

You can find out more about SA-CCR here.

Operational Risk

Three approaches currently:

• Basic indicator approach
• Standardised approach
• Advanced measurement approach

Data

Include the results of the EBA Risk Weighted Capital exercise. This contains all the RWAs for each risk type for every participating bank in the EU. Would be a good dataset to include in the package.

dandermotj/basel documentation built on May 21, 2019, 10:10 a.m.