Package org.drip.capital.bcbs

Class HighQualityLiquidAssetSettings

java.lang.Object
org.drip.capital.bcbs.HighQualityLiquidAssetSettings
public class HighQualityLiquidAssetSettings
extends java.lang.Object
HighQualityLiquidAssetSettings holds the Risk-Weights and the Haircuts associated with Levels 1, 2A, and 2B. 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
    HighQualityLiquidAssetSettings​(double level1Haircut, double level1RiskWeight, double level2AHaircut, double level2ARiskWeight, double level2BHaircut, double level2BRiskWeight)
    HighQualityLiquidAssetSettings Constructor

  • Method Summary

    Modifier and Type Method Description
    static HighQualityLiquidAssetSettings FederalReserveStandard()
    Retrieve the Federal Reserve Version of the HQLA Settings Standard
    double level1Haircut()
    Retrieve the Level 1 Haircut
    double level1RiskWeight()
    Retrieve the Level 1 Risk Weight
    double level2AHaircut()
    Retrieve the Level 2A Haircut
    double level2ARiskWeight()
    Retrieve the Level 2A Risk Weight
    double level2BHaircut()
    Retrieve the Level 2B Haircut
    double level2BRiskWeight()
    Retrieve the Level 2B Risk Weight

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • HighQualityLiquidAssetSettings

      public HighQualityLiquidAssetSettings​(double level1Haircut, double level1RiskWeight, double level2AHaircut, double level2ARiskWeight, double level2BHaircut, double level2BRiskWeight) throws java.lang.Exception
      HighQualityLiquidAssetSettings Constructor
      Parameters:
      level1Haircut - Level 1 HQLA Haircut
      level1RiskWeight - Level 1 HQLA Risk-Weight
      level2AHaircut - Level 2A HQLA Haircut
      level2ARiskWeight - Level 2A HQLA Risk-Weight
      level2BHaircut - Level 2B HQLA Haircut
      level2BRiskWeight - Level 2B HQLA Risk-Weight
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • FederalReserveStandard

      public static final HighQualityLiquidAssetSettings FederalReserveStandard()
      Retrieve the Federal Reserve Version of the HQLA Settings Standard
      Returns:
      The Federal Reserve Version of the HQLA Settings Standard

    • level1RiskWeight

      public double level1RiskWeight()
      Retrieve the Level 1 Risk Weight
      Returns:
      The Level 1 Risk Weight

    • level1Haircut

      public double level1Haircut()
      Retrieve the Level 1 Haircut
      Returns:
      The Level 1 Haircut

    • level2ARiskWeight

      public double level2ARiskWeight()
      Retrieve the Level 2A Risk Weight
      Returns:
      The Level 2A Risk Weight

    • level2AHaircut

      public double level2AHaircut()
      Retrieve the Level 2A Haircut
      Returns:
      The Level 2A Haircut

    • level2BRiskWeight

      public double level2BRiskWeight()
      Retrieve the Level 2B Risk Weight
      Returns:
      The Level 2B Risk Weight

    • level2BHaircut

      public double level2BHaircut()
      Retrieve the Level 2B Haircut
      Returns:
      The Level 2B Haircut