Package org.drip.capital.bcbs

Class BalanceSheetFunding

java.lang.Object
org.drip.capital.bcbs.BalanceSheetFunding
public class BalanceSheetFunding
extends java.lang.Object
BalanceSheetFunding holds the Quantities used to compute the Stable FUnding 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
    BalanceSheetFunding​(double stableFundingAmount, double extendedStressFundingAmount, java.lang.String stressPeriod)
    BalanceSheetFunding Constructor

  • Method Summary

    Modifier and Type Method Description
    static BalanceSheetFunding Basel_III​(double stableFundingAmount, double extendedStressFundingAmount)
    Construct the Basel III Version of BalanceSheetFunding
    double extendedStressFundingAmount()
    Retrieve the Funding Amount Required Over the Specified Period of Extended Stress
    double netStableFundingRatio()
    Retrieve the Net Stable Funding Ratio
    double stableFundingAmount()
    Retrieve the Stable Funding Amount
    java.lang.String stressPeriod()
    Retrieve the Stress Period

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • BalanceSheetFunding

      public BalanceSheetFunding​(double stableFundingAmount, double extendedStressFundingAmount, java.lang.String stressPeriod) throws java.lang.Exception
      BalanceSheetFunding Constructor
      Parameters:
      stableFundingAmount - Stable Funding Amount
      extendedStressFundingAmount - Funding Amount Required Over the Specified Period of Extended Stress
      stressPeriod - Stress Period
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • Basel_III

      public static final BalanceSheetFunding Basel_III​(double stableFundingAmount, double extendedStressFundingAmount)
      Construct the Basel III Version of BalanceSheetFunding
      Parameters:
      stableFundingAmount - Stable Funding Amount
      extendedStressFundingAmount - Funding Amount Required Over the Specified Period of Extended Stress
      Returns:
      The Basel III Version of BalanceSheetFunding

    • stableFundingAmount

      public double stableFundingAmount()
      Retrieve the Stable Funding Amount
      Returns:
      The Stable Funding Amount

    • extendedStressFundingAmount

      public double extendedStressFundingAmount()
      Retrieve the Funding Amount Required Over the Specified Period of Extended Stress
      Returns:
      The Funding Amount Required Over the Specified Period of Extended Stress

    • stressPeriod

      public java.lang.String stressPeriod()
      Retrieve the Stress Period
      Returns:
      The Stress Period

    • netStableFundingRatio

      public double netStableFundingRatio()
      Retrieve the Net Stable Funding Ratio
      Returns:
      The Net Stable Funding Ratio