Basel Tools

A framework for a rough estimation of Basel IV capital requirements.

Basel Tools

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, 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. The application offers the opportunity to compare the SMA capital requirements with those produced by the obsolete Basel II approaches defined in BCBS 128: the Basic Indicator Approach, the Standardised Approach and the Alternative Standardised Approach.

Requirements

The minimum Matlab version required is R2017a. In addition, the following products and toolboxes must be installed in order to properly execute the script:

• Financial Toolbox
• Statistics and Machine Learning Toolbox

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, can be found by visiting this page and is always included into every Basel Tools release.
• 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.
• All the values included in the datasets or manually entered inside the applications must be expressed in the same currency.