non_retail_capital: Non-retail exposure capital requirements
In imanuelcostigan/creditriskau: Credit Risk Capital Tools for Australia

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`	`TRUE` if an obligor is a regulated financial institution with total assets greater than A$100bn or in an unregulated financial institution. Otherwise is `FALSE`. See 113.B.77(a) and 113.B.77(b)