Reproducible Risk-Weighted Asset Calculations

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Documentation for package ‘riskweightedassets’ version 1.1.1

• DESCRIPTION file
• User guides, package vignettes and other documentation
• Package NEWS
• Package README

Help Pages

aggregate_correlated_capital	IRRBB, FRTB and Economic-capital Formulae
analyze_capital_adequacy	Analyse Capital Adequacy, Leverage and MREL/TLAC
analyze_counterparty_risk	Analyse Counterparty Credit Risk, CVA and Settlement Risk
analyze_credit_risk	Analyse Credit Risk
analyze_icaap	Analyse ICAAP Economic and Normative Perspectives
analyze_irrbb	Analyse IRRBB and CSRBB
analyze_market_risk	Analyse Market Risk and FRTB
analyze_operational_risk	Analyse Operational Risk
analyze_output_floor	Analyse the Output Floor
analyze_securitisation	Analyse Securitisation Risk
applicable_output_floor_factor	Operational Risk, Output Floor, NPE and Tier-2 Formulae
apply_output_floor	Operational Risk, Output Floor, NPE and Tier-2 Formulae
as.data.frame.rwa_validation_report	Convert a Validation Report to a Data Frame
available_rule_sets	Available Rule Sets
business_indicator_component	Operational Risk, Output Floor, NPE and Tier-2 Formulae
calculate_dataset	Calculate a Canonical Workbook Dataset
calculate_tables	Calculate Canonical In-Memory Tables
compare_calculation_views	Compare Applied and Fully-loaded Metrics
create_workspace	Create a Writable RWA Workspace
crm_adjusted_exposure	Standardised Credit-risk and CRM Formulae
crm_maturity_factor	Standardised Credit-risk and CRM Formulae
cva_basic_approach_capital	Counterparty, SFT, Securitisation, CVA and Settlement Formulae
default_workspace	Default Writable Workspace
failed_controls	Failed Calculation Controls
formula_catalog	Formula Catalogue
frtb_quadratic_charge	IRRBB, FRTB and Economic-capital Formulae
frtb_scenario_correlation	IRRBB, FRTB and Economic-capital Formulae
generate_synthetic_dataset	Generate a Synthetic Workbook Dataset
generate_synthetic_tables	Generate Synthetic Canonical Tables
irb_asset_correlation	Internal Ratings Based Formulae
irb_capital_requirement	Internal Ratings Based Formulae
irb_maturity_coefficient	Internal Ratings Based Formulae
irb_maturity_factor	Internal Ratings Based Formulae
irb_retail_correlation	Internal Ratings Based Formulae
irrbb_scenario_shock	IRRBB, FRTB and Economic-capital Formulae
irrbb_shocked_zero_rate	IRRBB, FRTB and Economic-capital Formulae
list_reference_datasets	List Bundled Reference Datasets
list_reference_profiles	List Bundled Reference Profiles
npe_secured_coverage_factor	Operational Risk, Output Floor, NPE and Tier-2 Formulae
npe_unsecured_coverage_factor	Operational Risk, Output Floor, NPE and Tier-2 Formulae
official_snapshot	Select the Official Bitemporal Snapshot
override_regulatory_parameters	Apply Auditable Regulatory Parameter Overrides
parameter_overrides	Parameter Override Audit Trail
present_value_discount_factor	IRRBB, FRTB and Economic-capital Formulae
print.rwa_calculation_result	Print a Calculation Result
print.rwa_domain_analysis	Print a Domain Analysis
print.rwa_validation_report	Print a Validation Report
print.rwa_workspace	Print a Workspace
real_estate_risk_weight	Standardised Credit-risk and CRM Formulae
regulatory_parameter	Read One Regulatory Parameter
regulatory_parameters	Regulatory Parameter Inventory
regulatory_sources	Regulatory Source Metadata
rwa_controls	Calculation Controls
rwa_metric	Read One Calculation Metric
rwa_metrics	Calculation Metrics
rwa_result_table	Read One Result Table
rwa_result_tables	Result Tables
rwa_summary	Compact Calculation Summary
rwa_table_names	List Result-Table Names
rwa_validation	Calculation Validation Report
sa_ccr_exposure_value	Counterparty, SFT, Securitisation, CVA and Settlement Formulae
sa_ccr_multiplier_value	Counterparty, SFT, Securitisation, CVA and Settlement Formulae
sa_exposure_value	Standardised Credit-risk and CRM Formulae
sa_risk_weight	Standardised Credit-risk and CRM Formulae
securitisation_erba_risk_weight	Counterparty, SFT, Securitisation, CVA and Settlement Formulae
securitisation_irba_p	Counterparty, SFT, Securitisation, CVA and Settlement Formulae
securitisation_irb_pool_capital	Counterparty, SFT, Securitisation, CVA and Settlement Formulae
securitisation_risk_weight	Counterparty, SFT, Securitisation, CVA and Settlement Formulae
securitisation_sa_pool_capital	Counterparty, SFT, Securitisation, CVA and Settlement Formulae
securitisation_ssfa_coefficient	Counterparty, SFT, Securitisation, CVA and Settlement Formulae
securitisation_ssfa_risk_weight	Counterparty, SFT, Securitisation, CVA and Settlement Formulae
select_rule_set	Select a Rule Set
settlement_risk_factor	Counterparty, SFT, Securitisation, CVA and Settlement Formulae
sft_exposure_value	Counterparty, SFT, Securitisation, CVA and Settlement Formulae
table_dictionary	Canonical Table Dictionary
table_schema	Canonical Table Schema
tier2_eligible_amount	Operational Risk, Output Floor, NPE and Tier-2 Formulae
validate_dataset	Validate a Canonical Dataset