Package org.drip.capital.bcbs

Class CapitalMetrics

java.lang.Object
org.drip.capital.bcbs.CapitalMetrics
Direct Known Subclasses:
CapitalMetricsStandard
public class CapitalMetrics
extends java.lang.Object
CapitalMetrics holds the Realized Capital Metrics. 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
    CapitalMetrics​(double leverageRatio, double commonEquityRatio, double commonEquityPlusConservationBufferRatio, double tier1Ratio, double totalRatio, double totalPlusConservationBufferRatio)
    CapitalMetrics Constructor

  • Method Summary

    Modifier and Type Method Description
    double commonEquityPlusConservationBufferRatio()
    Retrieve the Common Equity Capital Plus Capital Conservation Buffer Ratio
    double commonEquityRatio()
    Retrieve the Common Equity Capital Ratio
    double conservationBufferRatio()
    Retrieve the Capital Conservation Buffer Ratio
    boolean isCompliant​(CapitalMetrics capitalMetricsStandard)
    Verify if the Capital Metrics are Compliant with the Standard
    double leverageRatio()
    Retrieve the Leverage Ratio
    double tier1Ratio()
    Retrieve the Tier 1 Capital Ratio
    double totalPlusConservationBufferRatio()
    Retrieve the Total Capital Plus Conservation Buffer Ratio
    double totalRatio()
    Retrieve the Total Capital Ratio

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CapitalMetrics

      public CapitalMetrics​(double leverageRatio, double commonEquityRatio, double commonEquityPlusConservationBufferRatio, double tier1Ratio, double totalRatio, double totalPlusConservationBufferRatio) throws java.lang.Exception
      CapitalMetrics Constructor
      Parameters:
      leverageRatio - Leverage Ratio
      commonEquityRatio - Common Equity Capital Ratio
      commonEquityPlusConservationBufferRatio - Common Equity Capital Plus Capital Conservation Buffer Ratio
      tier1Ratio - Tier 1 Capital Ratio
      totalRatio - Total Capital Ratio
      totalPlusConservationBufferRatio - Total Capital Plus Conservation Buffer Ratio
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • leverageRatio

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

    • commonEquityRatio

      public double commonEquityRatio()
      Retrieve the Common Equity Capital Ratio
      Returns:
      The Common Equity Capital Ratio

    • conservationBufferRatio

      public double conservationBufferRatio()
      Retrieve the Capital Conservation Buffer Ratio
      Returns:
      The Capital Conservation Buffer Ratio

    • commonEquityPlusConservationBufferRatio

      public double commonEquityPlusConservationBufferRatio()
      Retrieve the Common Equity Capital Plus Capital Conservation Buffer Ratio
      Returns:
      The Common Equity Capital Plus Capital Conservation Buffer Ratio

    • tier1Ratio

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

    • totalRatio

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

    • totalPlusConservationBufferRatio

      public double totalPlusConservationBufferRatio()
      Retrieve the Total Capital Plus Conservation Buffer Ratio
      Returns:
      The Total Capital Plus Conservation Buffer Ratio

    • isCompliant

      public boolean isCompliant​(CapitalMetrics capitalMetricsStandard)
      Verify if the Capital Metrics are Compliant with the Standard
      Parameters:
      capitalMetricsStandard - The Capital Metrics Standard
      Returns:
      TRUE - The Capital Metrics are Compliant with the Standard