Basel 3.1 Credit Risk RWA Calculator compliant with PRA PS9/24
Project description
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
Option 1: Interactive UI
pip install rwa-calc[ui]
rwa-calc-ui
# Open http://localhost:8000 in your browser
Option 2: Python API
from datetime import date
from rwa_calc.engine.pipeline import create_pipeline
from rwa_calc.contracts.config import CalculationConfig
config = CalculationConfig.crr(reporting_date=date(2026, 12, 31))
pipeline = create_pipeline()
result = pipeline.run(config)
print(f"Total RWA: {result.total_rwa:,.2f}")
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 Development |
| Basel 3.1 | From 1 January 2027 | PRA PS9/24 | Planned |
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
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
uv run pytest tests/benchmarks/ -v
Test Results: 826 passed, 4 skipped
License
References
Current Regulations (CRR / Basel 3.0)
Basel 3.1 Implementation (January 2027)
Release history Release notifications | RSS feed
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