Package org.drip.capital.bcbs

Class CapitalMetricsStandard

java.lang.Object

org.drip.capital.bcbs.CapitalMetrics

org.drip.capital.bcbs.CapitalMetricsStandard

public class CapitalMetricsStandard
extends CapitalMetrics

CapitalMetricsStandard implements the Basel Capital Metrics 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

• Module = Portfolio Core Module
• Library = Capital Analytics
• Project = Basel Market Risk and Operational Capital
• Package = BCBS and Jurisdictional Capital Ratios

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
CapitalMetricsStandard(double leverageRatio, double commonEquityRatio, double commonEquityPlusConservationBufferRatio, double tier1Ratio, double totalRatio, double totalPlusConservationBufferRatio, double cet1DeductionsPhaseIn)	CapitalMetricsStandard Constructor

Method Summary

Modifier and Type	Method	Description
static CapitalMetricsStandard	Basel_III_2013()	Construct the Basel III 2013 Version of the Capital Metrics Standard
static CapitalMetricsStandard	Basel_III_2014()	Construct the Basel III 2014 Version of the Capital Metrics Standard
static CapitalMetricsStandard	Basel_III_2015()	Construct the Basel III 2015 Version of the Capital Metrics Standard
static CapitalMetricsStandard	Basel_III_2016()	Construct the Basel III 2016 Version of the Capital Metrics Standard
static CapitalMetricsStandard	Basel_III_2017()	Construct the Basel III 2017 Version of the Capital Metrics Standard
static CapitalMetricsStandard	Basel_III_2018()	Construct the Basel III 2018 Version of the Capital Metrics Standard
static CapitalMetricsStandard	Basel_III_2019()	Construct the Basel III 2019 Version of the Capital Metrics Standard
double	cet1DeductionsPhaseIn()	Retrieve the CET1 Deductions Phase-in
static CapitalMetricsStandard	US_SIFI()	Construct the Federal Reserve's Version of the Capital Metrics Standard for Systemically Important Financial Institutions (SIFI)
static CapitalMetricsStandard	US_SIFI_BHC()	Construct the Federal Reserve's Version of the Capital Metrics Standard for Systemically Important Financial Institutions' Insured Bank Holding Corporations (BHC)

Methods inherited from class org.drip.capital.bcbs.CapitalMetrics

commonEquityPlusConservationBufferRatio, commonEquityRatio, conservationBufferRatio, isCompliant, leverageRatio, tier1Ratio, totalPlusConservationBufferRatio, totalRatio

Methods inherited from class java.lang.Object

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

Constructor Details

CapitalMetricsStandard

public CapitalMetricsStandard(double leverageRatio,
double commonEquityRatio,
double commonEquityPlusConservationBufferRatio,
double tier1Ratio,
double totalRatio,
double totalPlusConservationBufferRatio,
double cet1DeductionsPhaseIn)
                       throws java.lang.Exception

CapitalMetricsStandard 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

cet1DeductionsPhaseIn - CET1 Deductions Phase-in

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

Basel_III_2013

public static final CapitalMetricsStandard Basel_III_2013()

Construct the Basel III 2013 Version of the Capital Metrics Standard

Returns:

Basel III 2013 Version of the Capital Metrics Standard

Basel_III_2014

public static final CapitalMetricsStandard Basel_III_2014()

Construct the Basel III 2014 Version of the Capital Metrics Standard

Returns:

Basel III 2014 Version of the Capital Metrics Standard

Basel_III_2015

public static final CapitalMetricsStandard Basel_III_2015()

Construct the Basel III 2015 Version of the Capital Metrics Standard

Returns:

Basel III 2015 Version of the Capital Metrics Standard

Basel_III_2016

public static final CapitalMetricsStandard Basel_III_2016()

Construct the Basel III 2016 Version of the Capital Metrics Standard

Returns:

Basel III 2016 Version of the Capital Metrics Standard

Basel_III_2017

public static final CapitalMetricsStandard Basel_III_2017()

Construct the Basel III 2017 Version of the Capital Metrics Standard

Returns:

Basel III 2017 Version of the Capital Metrics Standard

Basel_III_2018

public static final CapitalMetricsStandard Basel_III_2018()

Construct the Basel III 2018 Version of the Capital Metrics Standard

Returns:

Basel III 2018 Version of the Capital Metrics Standard

Basel_III_2019

public static final CapitalMetricsStandard Basel_III_2019()

Construct the Basel III 2019 Version of the Capital Metrics Standard

Returns:

Basel III 2019 Version of the Capital Metrics Standard

US_SIFI

public static final CapitalMetricsStandard US_SIFI()

Construct the Federal Reserve's Version of the Capital Metrics Standard for Systemically Important Financial Institutions (SIFI)

Returns:

Federal Reserve's Version of the Capital Metrics Standard for Systemically Important Financial Institutions (SIFI)

US_SIFI_BHC

public static final CapitalMetricsStandard US_SIFI_BHC()

Construct the Federal Reserve's Version of the Capital Metrics Standard for Systemically Important Financial Institutions' Insured Bank Holding Corporations (BHC)

Returns:

Federal Reserve's Version of the Capital Metrics Standard for Systemically Important Financial Institutions' Insured Bank Holding Corporations (BHC)

cet1DeductionsPhaseIn

public double cet1DeductionsPhaseIn()

Retrieve the CET1 Deductions Phase-in

Returns:

The CET1 Deductions Phase-in