Features¶
This section provides an overview of all implemented features in the RWA calculator with links to detailed documentation.
Core Calculation Features¶
| Feature | Description | Documentation |
|---|---|---|
| Standardised Approach (SA) | CQS-based risk weights for all exposure classes, including UK CRR deviations | Methodology, Specification |
| Foundation IRB (F-IRB) | Supervisory LGD, PD floors, correlation formulas, maturity adjustment | Methodology, Specification |
| Advanced IRB (A-IRB) | Internal LGD/CCF estimates with Basel 3.1 LGD floors | Methodology, Specification |
| Slotting Approach | Category-based risk weights for specialised lending (PF, OF, CF, IPRE, HVCRE) | Methodology, Specification |
| Equity Calculator | Article 133 (SA) and Article 155 (IRB Simple) equity risk weights | Methodology, API |
Credit Risk Mitigation Features¶
| Feature | Description | Documentation |
|---|---|---|
| Collateral Haircuts | CRR Art. 224 supervisory haircuts for financial and physical collateral | Methodology, Specification |
| Overcollateralisation | CRR Art. 230 overcollateralisation ratios and minimum thresholds | Methodology, Specification |
| Guarantee Substitution | Risk weight substitution for beneficial guarantees with pre/post CRM tracking | Methodology, Specification |
| Provisions | SA provision deduction and IRB expected loss comparison | Methodology, Specification |
| Maturity Mismatch | CRR Art. 238 adjustment for collateral/guarantee maturity shorter than exposure | Methodology, Specification |
Pipeline & Infrastructure Features¶
| Feature | Description | Documentation |
|---|---|---|
| Classification | Entity type mapping, SME/retail detection, approach assignment | Detail, Specification |
| Hierarchy Resolution | Parent-child traversal, rating inheritance, lending group aggregation | Architecture, Specification |
| FX Conversion | Multi-currency support with configurable base currency and audit trail | Methodology, API |
| Credit Conversion Factors | SA and F-IRB CCFs for off-balance sheet exposures | Specification, API |
| Supporting Factors | CRR SME tiered factor (0.7619/0.85) and infrastructure factor (0.75) | Methodology, Specification |
| Output Floor | Basel 3.1 output floor (72.5% of SA) with transitional schedule | Specification, API |
| Input Validation | Categorical value validation with DQ006 error codes | Data Model |
| Audit Trail | Full calculation transparency with formatted audit strings for every approach | API |
Reporting & Analysis Features¶
| Feature | Description | Documentation |
|---|---|---|
| COREP Reporting | C 07.00 (SA), C 08.01–08.07 (IRB), C 09.01–09.02 (Geo breakdown) | Feature Guide, API |
| Pillar III Disclosures | OV1, CR4, CR5, CR6, CR6-A, CR7, CR7-A, CR8, CR10 | Feature Guide |
| Dual-Framework Comparison | Side-by-side CRR vs Basel 3.1 analysis with per-exposure delta joins | Feature Guide, API |
| Capital Impact Analysis | 4-driver waterfall attribution (scaling, supporting, methodology, floor) | Feature Guide, API |
| Transitional Floor Schedule | Year-by-year output floor modelling from 50% (2027) to 72.5% (2032) | Feature Guide, API |
Dual-Framework Support¶
The calculator supports both CRR and Basel 3.1 via a single configuration toggle:
config = CalculationConfig.crr(reporting_date=date(2026, 12, 31)) # CRR
config = CalculationConfig.basel_3_1(reporting_date=date(2027, 1, 1)) # Basel 3.1
Key differences are documented in the CRR vs Basel 3.1 section.
Performance¶
All calculations use Polars LazyFrames for vectorized performance (50-100x improvement over row-by-row iteration). Eight custom Polars namespace extensions provide fluent, chainable APIs. See Design Principles for details.