retail_capital: Retail exposure capital requirements

In imanuelcostigan/creditriskau: Credit Risk Capital Tools for Australia

Description

This calculates the capital requirements of retail exposures including residential mortgages, qualifying revolving retail and others. All inputs are vectors and whose values are recycled if necessary.

Usage

retail_capital(pd, lgd, sub_class, correlation = NA)

Arguments

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.
sub_class	the sub-class of the retail IRB asset class. Can be one of the following: mortgage (including small business exposures secured by residential mortgage), qrr (qualified revolving retail) and other (e.g. personal lending and small business exposures not secured by residential mortgage)
correlation	the asset correlation factor. Defaults to 15%, 4% and the APS prescribed formula (APS 113, Att. C, para. 37) for mortgage, qrr and other aub-asset classes respectively. These can be overridden by supplying a numeric vector with alternate values and must be the same length as sub_class. The latter is necessary as there is no longer a one-to-one mapping of correlation to sub-asset class as a result of changes announced in July 2015.

Value

a vector of capital requirement ratios

References

APS 113

See Also

Other APS113 functions: non_retail_capital, slotting_capital

Examples

retail_capital(0.04, 0.20, "mortgage")
retail_capital(0.04, 0.20, "qrr")
retail_capital(0.04, 0.20, "other")
retail_capital(0.04, 0.20, "mortgage", 0.25)
retail_capital(0.04, 0.20 , c("mortgage", "qrr"), c(0.25, NA))

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