In imanuelcostigan/creditriskau: Credit Risk Capital Tools for Australia

knitr::opts_chunk$set(
  collapse = TRUE,
  comment = "#>",
  fig.path = "README-"
)

creditriskau - Australian credit risk capital tools

You will be able to calculated credit risk capital related quantities using this package. These reflect the standards outlined in APRA's credit risk prudential standards, and consequently reflects the Australian implementation of the Basel II and Basel III capital standards.

Retail exposures

The following illustrates the capital ratios associated with retail exposures with different credit risk characteristics.

library(tidyverse)
library(creditriskau)
x <- seq(0.01, 0.99, by = 0.03)
pd <- rep(x, 3)
lgd <- 0.20
sub_class <- rep(c("mortgage", "qrr", "other"), each = length(x))
k <- retail_capital(pd, lgd, sub_class)
df <- tibble(pd, lgd, sub_class, k)
ggplot(df, aes(x = pd, y = k, colour = sub_class)) + 
  geom_point() +
  theme_minimal() +
  labs(x = "PD", y = "Capital ratio", colour = "Sub-asset class")

Non-retail exposures

The following illustrates the capital ratios associated with non-retail exposures with different credit risk characteristics.

size <- rep(c(1, 10, 100), each = length(x))
k <- non_retail_capital(pd, lgd, size, 1, FALSE)
df <- tibble(pd, lgd, size, k)
ggplot(df, aes(x = pd, y = k, colour = as.character(size))) + 
  geom_point() +
  theme_minimal() +
  labs(x = "PD", y = "Capital ratio", colour = "Size (A$m)")

Capital ratios for specialised lending facilities subject to slotting can be accessed using the slotting_capital() function.

Counterparty credit risk exposures

To be completed.

imanuelcostigan/creditriskau documentation built on May 8, 2019, 6:48 p.m.