rwa-calc 0.1.36

Basel 3.1 Credit Risk RWA Calculator compliant with PRA PS9/24

This package is still in development and is not production ready

UK Credit Risk RWA Calculator

A high-performance Risk-Weighted Assets (RWA) calculator for UK credit risk, supporting both current regulations and future Basel 3.1 implementation. Built with Python using Polars for vectorized performance.

Documentation: https://OpenAfterHours.github.io/rwa_calculator/

Installation

# Install from PyPI
pip install rwa-calc

# Or with uv
uv add rwa-calc

# With UI support (web-based calculator interface)
pip install rwa-calc[ui]

Optional Dependencies

Extra	Description
ui	Interactive web UI via Marimo
dev	Development tools (pytest, mypy, mkdocs)
all	All optional dependencies

Quick Start

Quickest Start — one call does everything:

from rwa_calc.api import quick_calculate

response = quick_calculate("/path/to/data")
print(f"Total RWA: {response.summary.total_rwa:,.0f}")

More Control — choose framework, IRB approach, and reporting date:

from datetime import date
from rwa_calc.api import create_service, CalculationRequest

service = create_service()
response = service.calculate(
    CalculationRequest(
        data_path="/path/to/data",
        framework="CRR",
        reporting_date=date(2026, 12, 31),
        irb_approach="full_irb",
    )
)

if response.success:
    print(f"Total RWA: {response.summary.total_rwa:,.0f}")
    df = response.collect_results()

Per-Model IRB Permissions — for banks with multiple approved IRB models, place a config/model_permissions.parquet file in your data directory to control IRB approach at the model level. Counterparties link to models via model_id. See the Data Model docs for schema details.

Interactive UI — web-based calculator interface:

pip install rwa-calc[ui]
rwa-calc-ui
# Open http://localhost:8000 in your browser

Regulatory Scope

This calculator supports two regulatory regimes:

Regime	Effective Period	UK Implementation	Status
CRR (Basel 3.0)	Until 31 December 2026	UK CRR (EU 575/2013 as onshored)	Active
Basel 3.1	From 1 January 2027	PRA PS9/24	Active Development

A configuration toggle allows switching between calculation modes for:

• Current regulatory reporting under UK CRR
• Impact analysis and parallel running ahead of Basel 3.1 go-live
• Seamless transition when Basel 3.1 becomes effective

Key Features

• Dual-Framework Support: Single codebase for CRR and Basel 3.1 with UK-specific deviations
• High Performance: Polars LazyFrames for vectorized calculations (50-100x improvement over row iteration)
• Complete Coverage: Standardised (SA), IRB (F-IRB & A-IRB), and Slotting approaches
• Credit Risk Mitigation: Collateral, guarantees, and provisions with RWA-optimized allocation
• Complex Hierarchies: Multi-level counterparty and facility hierarchy support
• Audit Trail: Full calculation transparency for regulatory review
• Framework Comparison: Side-by-side CRR vs Basel 3.1 impact analysis
• COREP Output: Export results to COREP regulatory templates
• Multiple Export Formats: Parquet, CSV, Excel, and COREP

Supported Approaches

Approach	Description
Standardised (SA)	Risk weights based on external ratings and exposure characteristics
Foundation IRB (F-IRB)	Bank-estimated PD, supervisory LGD
Advanced IRB (A-IRB)	Bank-estimated PD, LGD, and EAD
Slotting	Category-based approach for specialised lending

Supported Exposure Classes

Sovereign, Institution, Corporate, Corporate SME, Retail Mortgage, Retail QRRE, Retail Other, Specialised Lending, Equity

Documentation

Comprehensive documentation is available at OpenAfterHours.github.io/rwa_calculator

Section	Description
Getting Started	Installation and first calculation
User Guide	Regulatory frameworks, methodology, exposure classes
Architecture	System design and pipeline
Data Model	Input schemas and validation
API Reference	Complete technical documentation
Development	Testing, benchmarks, contributing
Plans	Development roadmap and status

Running Tests

# Run all tests
uv run pytest -v

# Run with coverage
uv run pytest --cov=src/rwa_calc

# Run benchmarks (10K + 100K, excludes 1M/10M)
uv run pytest tests/benchmarks/ -m "benchmark and not slow" -k "not 1m" -o "addopts=" --benchmark-only -v

Test Results: ~1,915 tests (1,485 unit + 275 acceptance + 123 contract + ~30 benchmark)

License

Apache-2.0 license

References

Current Regulations (CRR / Basel 3.0)

• PRA Rulebook - CRR Firms
• UK CRR - Regulation (EU) No 575/2013 as onshored

Basel 3.1 Implementation (January 2027)

• PRA PS9/24 - Implementation of the Basel 3.1 standards
• PRA CP16/22 - Implementation of Basel 3.1 Standards
• Basel Committee - CRE: Calculation of RWA for credit risk