Calculate Credit Risk-Weighted Assets

Calculates credit risk-weighted assets (RWA) using either the Standardized Approach or Internal Ratings-Based (IRB) approach under Basel III. The Standardized Approach uses external credit ratings and fixed risk weights per asset class. The IRB approach uses bank’s internal estimates of PD (Probability of Default), LGD (Loss Given Default), and maturity. Use this to determine capital requirements for credit portfolios, assess credit risk capital adequacy, and compare standardized vs. IRB treatment. [Tier: ENTERPRISE, Credits: 10]

POST /quantlib/regulatory/basel/credit-rwa

cURL

standardized_corporate_portfolio

curl --request POST \
  --url https://api.fincept.in/quantlib/regulatory/basel/credit-rwa \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "exposures": [
    {
      "amount": 5000000,
      "asset_class": "CORPORATE",
      "rating": "BBB"
    },
    {
      "amount": 3000000,
      "asset_class": "CORPORATE",
      "rating": "A"
    },
    {
      "amount": 2000000,
      "asset_class": "SOVEREIGN",
      "rating": "AA"
    }
  ],
  "method": "standardized"
}
'

200

standardized_result

{
  "success": true,
  "data": {
    "rwa": 6250000,
    "method": "standardized"
  }
}

Authorizations

X-API-Key · string · header · required

API key for authentication. Get your key at https://api.fincept.in/auth/register

Body

application/json

exposures · object[] · required

List of credit exposures in the portfolio

Show child attributes

Example:

[
  {
    "amount": 5000000,
    "asset_class": "CORPORATE",
    "rating": "BBB"
  },
  {
    "amount": 3000000,
    "asset_class": "SOVEREIGN",
    "rating": "AA"
  }
]

method · enum<string> · default: standardized

Calculation method: 'standardized' uses external ratings, 'irb' uses internal PD/LGD estimates

Available options: standardized, irb

Example:

"standardized"

Response

200

application/json

Credit RWA calculated successfully

success · boolean

Example:

true

data · object

Show child attributes