UK Credit Risk RWA Calculator¶

Welcome to the documentation for the UK Credit Risk RWA Calculator - a high-performance system for calculating Risk-Weighted Assets (RWA) for UK credit risk exposures.

Documentation: https://OpenAfterHours.github.io/rwa_calculator/

Source Code: https://github.com/OpenAfterHours/rwa_calculator

Overview¶

This calculator supports both current and forthcoming UK regulatory frameworks:

The system provides accurate, auditable RWA calculations across all major exposure classes using both the Standardised Approach (SA) and Internal Ratings-Based (IRB) approaches.

Key Features¶

• Dual-Framework Support: Single codebase supporting both CRR and Basel 3.1 regulations
• High Performance: Built on Polars LazyFrames for vectorized operations, achieving 50-100x performance improvements
• Full Regulatory Coverage: Implements all exposure classes including Central Govt / Central Bank, Institution, Corporate, Retail, and Specialised Lending
• Credit Risk Mitigation: Complete CRM support including collateral, guarantees, and provisions
• Audit Trail: Error accumulation and full traceability for regulatory compliance
• Extensible Architecture: Protocol-based design enabling easy customization

Who Is This Documentation For?¶

This documentation serves multiple audiences:

For Engineers¶

• Architecture Guide - Understand the system design and components
• API Reference - Complete API documentation for all modules
• Development Guide - Testing, extending, and contributing

For Risk & Audit Teams¶

• Regulatory Frameworks - Detailed coverage of CRR and Basel 3.1 requirements
• Calculation Methodology - How RWAs are calculated
• Exposure Classes - Classification and treatment of exposures

For Business Users¶

• Getting Started - Quick introduction and setup
• User Guide - Comprehensive usage documentation
• Glossary - Terminology and definitions

Quick Navigation¶

Calculation Pipeline Overview¶

The RWA calculator processes exposures through a well-defined pipeline:

graph LR
    A[Raw Data] --> B[Loader]
    B --> C[Hierarchy Resolver]
    C --> D[Classifier]
    D --> E[CRM Processor]
    E --> F{Approach}
    F -->|SA| G[SA Calculator]
    F -->|IRB| H[IRB Calculator]
    F -->|Slotting| I[Slotting Calculator]
    F -->|Equity| L[Equity Calculator]
    G --> J[Aggregator]
    H --> J
    I --> J
    L --> J
    J --> K[Final RWA]

Supported Calculations¶

By Approach¶

By Exposure Class¶

Class	SA	F-IRB	A-IRB	Slotting
Central Govt / Central Bank
Institution
Corporate
Corporate SME
Retail Mortgage
Retail QRRE
Retail Other
Specialised Lending
Equity

Technology Stack¶

The calculator is built using modern, high-performance technologies:

• Python 3.13+ - Latest Python features
• Polars - Vectorized DataFrame operations with LazyFrame optimization
• polars-normal-stats - Pure Polars statistical functions for IRB formulas
• Pytest - Comprehensive test coverage (2,065+ tests)

Regulatory References¶

This implementation follows:

• PRA Rulebook - CRR Firms rules
• UK CRR - EU 575/2013 as onshored
• PRA PS1/26 - Basel 3.1 implementation policy statement
• BCBS CRE Standards - Basel Committee credit risk standards

See the Regulatory References appendix for complete documentation links.

Version Information¶