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 banks must hold to cover 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:

Open Live Script

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:

Open Live Script

Basel Regulatory Frameworks

Categories

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