RWA Calculator
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About this app
Calculation of RWA for credit risk using the Basel IRB approach.
Handy tool for the calculation of risk-weighted assets for
(1) corporate, sovereign and bank exposures
(2) retail exposures
(3) equity exposures (under development)
The tool allows to freely set the relevant parameters like PD, LGD, EAD and more to calculate the RWA. Several special cases like SME, Large and unregulated Financial institutions and High-volatility CRE are implemented.
Use the settings to preset some values (like EAD or maturity) or apply regulatory floors.
Calculation detail dialog shows the relevant intermediate results like correlation and k value and the applied floors/caps.
The risk weight formulas for the IRB approach are implemented according to the specifications in the BIS document CRE31 for the Basel framework.
Handy tool for the calculation of risk-weighted assets for
(1) corporate, sovereign and bank exposures
(2) retail exposures
(3) equity exposures (under development)
The tool allows to freely set the relevant parameters like PD, LGD, EAD and more to calculate the RWA. Several special cases like SME, Large and unregulated Financial institutions and High-volatility CRE are implemented.
Use the settings to preset some values (like EAD or maturity) or apply regulatory floors.
Calculation detail dialog shows the relevant intermediate results like correlation and k value and the applied floors/caps.
The risk weight formulas for the IRB approach are implemented according to the specifications in the BIS document CRE31 for the Basel framework.
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What’s new
Upgraded to API level 36 and updated dependencies
App support
About the developer
Swen Lechte
swenlechte@hotmail.com
Netherlands
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