Package org.drip.capital.bcbs

BCBS and Jurisdictional Capital Ratios
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    BalanceSheet
    BalanceSheet holds the Quantities used to compute the Capital/Liquidity Ratios in the BCBS Standards.
    BalanceSheetCapital
    BalanceSheetCapital holds the Quantities used to compute the Capital Compliance Ratios in the BCBS Standards.
    BalanceSheetFunding
    BalanceSheetFunding holds the Quantities used to compute the Stable FUnding Ratios in the BCBS Standards.
    BalanceSheetLiquidity
    BalanceSheetLiquidity holds the Liquidity Related Fields needed for computing the Compliance Ratios.
    CapitalMetrics
    CapitalMetrics holds the Realized Capital Metrics.
    CapitalMetricsStandard
    CapitalMetricsStandard implements the Basel Capital Metrics Standards.
    HighQualityLiquidAsset
    HighQualityLiquidAsset contains the Amounts and the Settings associated with Levels 1, 2A, and 2B.
    HighQualityLiquidAssetSettings
    HighQualityLiquidAssetSettings holds the Risk-Weights and the Haircuts associated with Levels 1, 2A, and 2B.
    HighQualityLiquidAssetStandard
    HighQualityLiquidAssetStandard contains the Regulatory HQLA Ratios associated with Levels 1, 2A, and 2B.
    LiquidityMetrics
    LiquidityMetrics holds the Realized Liquidity Metrics.