Basel Tools

버전 1.1.5 (395 KB) 작성자: Tommaso Belluzzo
A framework for a rough estimation of Basel IV capital requirements.

다운로드 수: 67

업데이트 날짜: 2019/7/30

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# INTRODUCTION #

Basel Tools is a set of GUI applications that can produce a rough estimation of capital requirements based on the Basel IV regulatory framework proposed by the Basel Committee on Banking Supervision. The following applications are currently available:

> BaselCCR: a tool for calculating the capital requirements related to the counterparty credit risk exposures.
> BaselOP: a tool for calculating the capital requirements related to the operational risk.

# BASELCCR #

The tool can be run by executing the "BaselCCR.m" script. The underlying calculations are based on the SA-CCR model defined within the BCBS 279 document (https://www.bis.org/publ/bcbs279.htm), but the application also offers the option to compute the counterparty credit risk exposures using the Simplified SA-CCR as per CRR II european regulatory framework.

# BASELOP #

The tool can be run by executing the "BaselOP.m" script. The underlying calculations are based on the SMA model defined within the BCBS 356 document (https://www.bis.org/bcbs/publ/d356.htm). The application offers the opportunity to compare the SMA capital requirements with those produced by the obsolete Basel II approaches defined in BCBS 128 (https://www.bis.org/publ/bcbs128.htm): the Basic Indicator Approach, the Standardised Approach and the Alternative Standardised Approach.

# NOTES #

> Some common functionalities of all the Basel Tools applications are defined within the "BaselTools.jar" package, which has been compiled under Java 1.8 and includes the original .java source code files. Depending on the current Matlab version being used (the console command "version -java" should provide enough details), it may be necessary to recompile it referencing the proper Java Framework version.
> In order to have a full control over the underlying Java components, all the Basel Tools applications use the "findjobj.m" script intensively. The script, created by Yair Altman, is always included into every Basel Tools release AND can be found by visiting the following link: https://it.mathworks.com/matlabcentral/fileexchange/14317-findjobj-find-java-handles-of-matlab-graphic-objects.
> All the applications that are part of the Basel Tools suite make use of a singleton pattern.
> Excel datasets should be pretty straightforward to create, as they must follow the same structure of the example ones included into every Basel Tools release.

인용 양식

Tommaso Belluzzo (2022). Basel Tools (https://github.com/TommasoBelluzzo/BaselTools), GitHub. 검색됨 .

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