Lookup in params$sa_rw: regulatory retail ("retail_other",
"qrre_*": 75 %, or the transactor weight), residential mortgages by
loan-to-value band (a missing LTV takes the highest band), corporates by
external rating bucket ("AAA" to "AA-", "A", "BBB", "BB", below;
NA is unrated; "IG" marks an unrated investment-grade obligor where
ratings are not used) or the SME weight, banks and sovereigns through
the corporate rating rows, and defaulted exposures by the specific
provision ratio (or the mortgage row). Arguments are recycled.
Usage
scr_sa_rw(
asset_class,
ltv = NULL,
rating = NULL,
transactor = NULL,
defaulted = NULL,
provision_ratio = NULL,
sme = NULL,
granular = TRUE,
params = scr_irb_params("bcb")
)Arguments
- asset_class
One of
"corporate","corporate_sme","bank","sovereign","hvcre","retail_mortgage","qrre_revolver","qrre_transactor","retail_other"; a scalar or a vector.- ltv
Loan-to-value at origination, decimal (mortgages).
- rating
External rating string (corporates),
NAwhen unrated.- transactor
Logical: revolving facility repaid in full every month.
- defaulted
Optional 0/1 or logical vector.
- provision_ratio
Specific provisions over the outstanding amount (defaulted rows).
- sme
Logical: corporate small or medium enterprise (also implied by
asset_class = "corporate_sme").- granular
Logical (scalar or per exposure): whether the retail exposure belongs to a granular regulatory retail pool;
FALSEapplies the non-granular retail weight.- params
An
scr_irb_params()object.
References
Basel Committee on Banking Supervision (2023). The Basel Framework, CRE20 (standardised approach: individual exposures).
See also
Other irb-capital:
scr_capital(),
scr_ecl(),
scr_el(),
scr_irb_rw(),
scr_pd_stress()