Returns the numeric tables the internal ratings-based (IRB) functions
read: probability of default (PD) floors, loss given default (LGD) input
floors for own estimates,
supervisory LGD values of the foundation approach, standardized credit
conversion factors (CCF), asset-correlation parameters of the risk-weight
function, maturity rules, the output floor and the standardized risk
weights used for the floor comparison. Three presets ship: "bcb"
(Brazil, BCB Resolutions 303/2023 and 229/2022), "basel3_final" (the
consolidated Basel Framework in force from 2023) and "crr3" (the EU
text applicable from 2025). The presets differ in a handful of cells, all
visible with print(); users who need another jurisdiction edit the
tables and pass the object to the functions that take params.
Usage
scr_irb_params(framework = c("bcb", "basel3_final", "crr3"))Value
An object of class scr_irb_params: a list with framework,
source (one line), pd_floor, lgd_floor, lgd_firb, ccf_sa,
ccf_floor_fraction, correlation, scaling_factor, confidence,
m_default, m_range, output_floor, sa_rw and modified (logical,
set by the functions that receive the object when its tables were
edited).
Regulatory texts
The presets encode a reading of the texts below at the time of the release. Regulation changes and is interpreted by each supervisor: before any regulatory use, check every table against the texts in force for the jurisdiction and the portfolio, and edit the tables where they differ. The package implements the calculations; it does not give regulatory advice.
References
Basel Committee on Banking Supervision. The Basel Framework, chapters CRE31 to CRE36 (IRB approach) and RBC20 (output floor).
Regulation (EU) 2024/1623 (CRR3), amending Regulation (EU) No 575/2013.
European Banking Authority (2017). Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures, EBA/GL/2017/16.
European Banking Authority (2019). Guidelines for the estimation of LGD appropriate for an economic downturn, EBA/GL/2019/03.
Banco Central do Brasil. BCB Resolution 229/2022 and BCB Resolution 303/2023.
International Accounting Standards Board (2014). IFRS 9 Financial Instruments.
See also
Other irb-parameters:
scr_default(),
scr_default_rate()
Examples
p <- scr_irb_params("bcb")
p
#> <scr_irb_params> framework: bcb
#> BCB Resolutions 303/2023 (IRB) and 229/2022 (standardized); values as tables, editable
#> PD floors: corporate 0.05% | bank 0.05% | sovereign none | retail_mortgage 0.05% | qrre_transactor 0.05% | qrre_revolver 0.10% | retail_other 0.05%
#> LGD floors (unsecured): corporate 25% | retail_mortgage n/a | qrre 50% | retail_other 30%
#> F-IRB LGD: senior_unsecured 75% | priority_claim 45% | subordinated 75% | secured_financial 0% | secured_receivables 20% | secured_real_estate 20% | secured_other 25%
#> CCF (standardized): uncond_cancellable 10% | commitment 40% | nif_ruf 50% | direct_substitute 100% | own-estimate floor 50% of the standardized value
#> correlation: corporate 0.12-0.24 (k=50) | mortgage 0.15 | QRRE 0.04 | other retail 0.03-0.16 (k=35) | FI x1.25 | SME adj 0.04 (BRL m 15-300)
#> confidence 0.999 | scaling factor 1 | M default 2.5 in [1, 5] | output floor 72.5% | SA risk weights: 26 rows
p$pd_floor
#> asset_class floor
#> <char> <num>
#> 1: corporate 5e-04
#> 2: bank 5e-04
#> 3: sovereign NA
#> 4: retail_mortgage 5e-04
#> 5: qrre_transactor 5e-04
#> 6: qrre_revolver 1e-03
#> 7: retail_other 5e-04
p2 <- p; p2$pd_floor$floor[p2$pd_floor$asset_class == "retail_other"] <- 0.001