Training Modules
1
Asset Correlation (ρ)
Asset correlation calculation according to Basel formula
→
2
Maturity Adjustment
Adjustment to account for effective maturity
→
3
Capital Requirement (K)
Regulatory capital requirement calculation
→
4
Risk Weighted Assets
Risk-weighted assets calculation
→
5
Expected Loss
Expected losses calculation
→
6
RAROC
Risk-adjusted return on capital
→
7
CVC - Value Creation
Measure of contribution to value creation
→
8
Global Simulator
Integrated Basel III calculator
→
Module 1: Asset Correlation (ρ)
ρ = 0.12 ×
1 - e-50×PD
1 - e-50
+ 0.24 × (1 -
1 - e-50×PD
1 - e-50
)
Interactive Calculator
Value between 0 and 1 (ex: 0.0004 = 0.04%)
Examples:
Asset Correlation (ρ)
--
coefficient
Module 2: Maturity Adjustment
M =
1 + (Maturity - 2.5) × b
1 - 1.5 × b
où b = (0.11852 - 0.05478 × ln(PD))²
où b = (0.11852 - 0.05478 × ln(PD))²
Interactive Calculator
Value between 0 and 1 (ex: 0.0004 = 0.04%)
Value in years (ex: 15 = 15 years)
Examples:
Maturity Adjustment (M)
--
coefficient
Module 3: Capital Requirement
Capital Requirement Formula
K = LGD × N\( G(PD)/√(1−ρ) + √(ρ/(1−ρ)) × G(0.999) \) − PD × LGD
Capital (with maturity) = K × M
Capital (with maturity) = K × M
Interactive Calculator
Value between 0 and 1 (ex: 0.0004 = 0.04%)
Value between 0 and 1 (ex: 0.45 = 45%)
Asset correlation (e.g. 0.237623841)
Examples:
Capital Requirement (K)
--
ratio de capital
Module 4: RWA Calculation
Formule Risk Weighted Assets
RWA = 12.5 × EAD × K × Maturity Adjustment
Note: K is the base capital requirement per unit (before maturity); MA applies multiplicatively.
Note: K is the base capital requirement per unit (before maturity); MA applies multiplicatively.
Interactive Calculator
Exposure amount (e.g. 1000000000 = 1B€)
Capital requirement per unit (e.g. 0.00589 = 0.589%)
Maturity adjustment factor (e.g. 1.034)
Examples:
Risk Weighted Assets
--
€
Capital Requirement (Absolute)
--
€
Module 6: Expected Loss (EL)
Expected Loss Formula
EL = PD × LGD × EAD
Interactive Calculator
Value between 0 and 1 (ex: 0.0004 = 0.04%)
Value between 0 and 1 (ex: 0.45 = 45%)
Exposure amount (€)
Examples:
Expected Loss (EL)
--
€
Module 7: RAROC - Risk-Adjusted Return on Capital
RAROC Formula
RAROC (%) = (Revenues - Liquidity Costs - Operational Costs - Expected Loss) / Allocated Capital × 100
Interactive Calculator
Annual revenues (€)
Liquidity costs (€)
Operational costs (€)
Expected losses (€)
Allocated capital (€)
Examples:
RAROC
--
%
Module 8: CVC - Value Creation
CVC Formula
CVC = Revenues - Liquidity Costs - Operational Costs - Expected Loss - Cost of Allocated Capital
EL = PD × LGD × EAD
EL = PD × LGD × EAD
Interactive Calculator
Annual revenues (€)
Liquidity costs (€)
Operational costs (€)
Expected Loss (€)
Allocated capital (€)
Examples:
CVC (€)
--
€
Global Simulator
Global Parameters
Risk Parameters
Exposure at default (€)
Annual PD (0 to 1)
LGD (0 to 1)
Maturity in years
Financial Parameters
Revenue generated (€)
Liquidity costs + Operational costs (€)
Examples:
Integrated Dashboard
Asset Correlation
--
correlation
Maturity Adjustment
--
factor
Capital Requirement
--
ratio
RWA
--
€
Expected Loss
--
€
CVC
--
€
RAROC
--
return