CRR2-RWA

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Project description

This project contains a class and 4 definitions as specified below. The class is used to calculate credit risk according to CRR 2 Article 154.

The class: RiskWeightCalculation Takes parameters: PD, LGD and EAD

The methods included in this class: - expected_loss_as_percentage - asset_correlation_rho - capital_requirement - risk_weighted_exposure_amount

This project will be regularly updated.

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This version

1.0

May 16, 2021

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