Regulatory Capital for Basel Calculations

Regulatory Capital for Basel

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Regulatory Capital is calculated as a function of Exposure At Default

, Loss Given Default and Probability of Default for the Internal Ratings Based (IRB) Foundation Approach.

In addition, for the Advanced Approach, Effective Maturity is also used.

Regulatory Capital will be calculated by and extracted from the Financial Model and combined with Balance Sheet data to enable the Capital Adequacy Returns to be produced.

Software solutions such as SAS help Risk Departments calculate these values and their websites are often a good source of information including whitepapers.

The principal breakdown of this data will be by:

-Asset Class;
-Business Area; and
-Country.

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