Description Usage Arguments Value References See Also Examples
This calculates the capital requirements of corporate, bank and sovereign exposures that are not specialised lending exposures subject to the slotting approach. All inputs are vectors and whose values are recycled if necessary.
1 | non_retail_capital(pd, lgd, size, maturity, is_riskier_fi)
|
pd |
the probability of default expressed as a decimal between 0 and 1 (exclusive). It is assumed that these are already floored to 0.0003 for corporate and bank exposures (B.2). |
lgd |
the loss given default expressed as a decimal. It is assumed that any applicable floors have already been applied. |
size |
the size of the consolidated group to which an obligor belongs expressed in millions of dollars of sales |
maturity |
the effective maturity expressed in years. It is assumed that any applicable floors or ceilings have already been applied. |
is_riskier_fi |
|
a vector of capital requirement ratios subject to a floor of zero. Note this assumes a Prudential Capital Ratio of 0.08
Other APS113 functions: retail_capital
,
slotting_capital
1 2 | non_retail_capital(0.05, 0.45, 3, 100, FALSE)
non_retail_capital(c(0.05, 0.70), 0.45, 3, 100, FALSE)
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