Basel Regulatory Frameworks

Basel regulatory requirements for modeling and analysis of credit risk and market risk

The Basel regulatory frameworks, developed by the global Basel Committee on Banking Supervision, are international banking standards designed to enhance financial stability, improve risk management, and maintain capital and liquidity adequacy in the banking sector. They provide a unified approach to banking regulation across countries, fostering global financial stability and uniform risk management.

Object-based frameworks support Basel-compliant, International Swaps and Derivatives Association ( ISDA^®) workflows for calculating the capital requirements that banks must hold to cover various market risk factors and the risk that a derivative's trading partner will fail to pay its obligation.

Featured Examples

Framework for Standardized Approach to Calculating Counterparty Credit Risk: Introduction

The Standardized Approach for Counterparty Credit Risk (SA-CCR) is a framework determining the exposure at default (EAD) of derivative contracts for regulatory capital purposes. SA-CCR determines the EAD through a series of calculations that include:

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Create saccr Object and Compute Regulatory Values for Multiple Portfolios Containing Multiple Asset Classes

Create a saccr object for trades from three portfolios (Portfolios 7, 8, 9), each containing multiple asset classes with a netting set, collateral set, and collateral positions. The trades are:

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Compute Capital Risk Charge Using FRTB-SA Framework

Creates a frtbsa object and uses the ISDA® FRTB-SA framework to support the workflows for calculating capital market risk charge. FRTB-SA (Standardized Approach for Fundamental Review of Trading Book) is a Basel Committee on Banking Supervision framework for calculating market capital risk requirements that is based on a set of standardized risk factors. To calculate the total market risk charge, you need to use only the charge method. However, for the purpose of illustration, this example also demonstrates the frtbsa component methods (sbm, drc, rrao).

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Basel Regulatory Frameworks

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Featured Examples

Framework for Standardized Approach to Calculating Counterparty Credit Risk: Introduction

Create saccr Object and Compute Regulatory Values for Multiple Portfolios Containing Multiple Asset Classes

Compute Capital Risk Charge Using FRTB-SA Framework