Package org.drip.capital.bcbs

Class BalanceSheetCapital

java.lang.Object
org.drip.capital.bcbs.BalanceSheetCapital
public class BalanceSheetCapital
extends java.lang.Object
BalanceSheetCapital holds the Quantities used to compute the Capital Compliance Ratios in the BCBS Standards. The References are:

  • Basel Committee on Banking Supervision (2017): Basel III Leverage Ratio Framework and Disclosure Requirements https://www.bis.org/publ/bcbs270.pdf
  • Central Banking (2013): Fed and FDIC agree 6% Leverage Ratio for US SIFIs https://www.centralbanking.com/central-banking/news/2280726/fed-and-fdic-agree-6-leverage-ratio-for-us-sifis
  • European Banking Agency (2013): Implementing Basel III in Europe: CRD IV Package https://eba.europa.eu/regulation-and-policy/implementing-basel-iii-europe
  • Federal Reserve (2013): Liquidity Coverage Ratio – Liquidity Risk Measurements, Standards, and Monitoring https://web.archive.org/web/20131102074614/http:/www.federalreserve.gov/FR_notice_lcr_20131024.pdf
  • Wikipedia (2018): Basel III https://en.wikipedia.org/wiki/Basel_III


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    BalanceSheetCapital​(double cet1, double at1, double additionalCapital, double rwa, double totalExposure)
    BalanceSheetCapital Constructor

  • Method Summary

    Modifier and Type Method Description
    double additionalCapital()
    Retrieve the Additional Capital
    double additionalTier1()
    Retrieve the Additional Tier 1 Capital
    CapitalMetrics capitalMetrics()
    Generate the Balance Sheet Capital Metrics
    double cet1Ratio()
    Retrieve the CET 1 Ratio
    double commonEquityTier1()
    Retrieve the Common Equity Tier 1 Capital
    double leverageRatio()
    Retrieve the Leverage Ratio
    double riskWeightedAssets()
    Retrieve the Risk Weighted Assets
    double tier1()
    Retrieve the Tier 1 Capital
    double tier1Ratio()
    Retrieve the Tier 1 Ratio
    double totalCapital()
    Retrieve the Total Capital
    double totalCapitalRatio()
    Retrieve the Total Capital Ratio
    double totalExposure()
    Retrieve the Total Exposure

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Constructor Details

    • BalanceSheetCapital

      public BalanceSheetCapital​(double cet1, double at1, double additionalCapital, double rwa, double totalExposure) throws java.lang.Exception
      BalanceSheetCapital Constructor
      Parameters:
      cet1 - Common Equity Tier 1 Capital
      at1 - Additional Tier 1 Capital
      additionalCapital - Additional Capital
      rwa - Risk Weighted Assets
      totalExposure - Total Exposure
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • commonEquityTier1

      public double commonEquityTier1()
      Retrieve the Common Equity Tier 1 Capital
      Returns:
      The Common Equity Tier 1 Capital

    • additionalTier1

      public double additionalTier1()
      Retrieve the Additional Tier 1 Capital
      Returns:
      The Additional Tier 1 Capital

    • additionalCapital

      public double additionalCapital()
      Retrieve the Additional Capital
      Returns:
      The Additional Capital

    • riskWeightedAssets

      public double riskWeightedAssets()
      Retrieve the Risk Weighted Assets
      Returns:
      The Risk Weighted Assets

    • totalExposure

      public double totalExposure()
      Retrieve the Total Exposure
      Returns:
      The Total Exposure

    • tier1

      public double tier1()
      Retrieve the Tier 1 Capital
      Returns:
      The Tier 1 Capital

    • totalCapital

      public double totalCapital()
      Retrieve the Total Capital
      Returns:
      The Total Capital

    • cet1Ratio

      public double cet1Ratio()
      Retrieve the CET 1 Ratio
      Returns:
      The CET 1 Ratio

    • tier1Ratio

      public double tier1Ratio()
      Retrieve the Tier 1 Ratio
      Returns:
      The Tier 1 Ratio

    • totalCapitalRatio

      public double totalCapitalRatio()
      Retrieve the Total Capital Ratio
      Returns:
      The Total Capital Ratio

    • leverageRatio

      public double leverageRatio()
      Retrieve the Leverage Ratio
      Returns:
      The Leverage Ratio

    • capitalMetrics

      public CapitalMetrics capitalMetrics()
      Generate the Balance Sheet Capital Metrics
      Returns:
      The Balance Sheet Capital Metrics