Basel is an R package for calculating capital requirements according to the Basel Accords. The Basel Committee recognise three major components of risk for a banks that, for which it requires banks to hold regulatory capital for:
- Credit risk
- Market risk
- Operational risk
For easy reference to the many papers, discussions and FAQs by the Basel Committee see the Banking of International Settlements (BIS) publications.
Three approaches are:
- Standardised Approach
- Foundation IRB
- Advanced IRB
See the explanatory note on the IRB risk weights.
Counter Party Credit Risk
You can find out more about SA-CCR here.
Three approaches currently:
- Basic indicator approach
- Standardised approach
- Advanced measurement approach
Include the results of the EBA Risk Weighted Capital exercise. This contains all the RWAs for each risk type for every participating bank in the EU. Would be a good dataset to include in the package.