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Capital Analytics Library

Capital Analytics Library computes the Economic Risk Capital and Basel Operational Capital Analytics.

Documentation

Document Link
Technical Specification Latest Previous
User Guide
API Javadoc

Component Projects

  • Capital => Basel Market Risk and Operational Capital Analytics.

Coverage

  • Basel II
    • Overview
    • Objective
    • The Accord in Operation: Three Pillars
    • The First Pillar: Minimum Capital Requirements
    • The Second Pillar: The Supervisory Review
    • The Third Pillar: Market Discipline
    • Chronological Updates
    • References
  • Basel III
    • Overview
    • Key Principles - Capital Requirements
    • Key Principles - Leverage Ratio
    • Liquidity Requirements
    • US Version of the Basel Liquidity Coverage Ratio Requirements
    • Summary of Originally Proposed Changes (2010) in the Basel Committee Language
    • US Implementation
    • Europe Implementation
    • Key Milestones
    • References
  • VaR and Stress Methodology – Integration and Testing
    • Objectives of Risk Capital Estimation
    • BHC Risk Capital – Principles
    • Market Risk Capital – Coverage and History
    • Enhanced Risk Capital Framework
    • Step #1 – VaR at 99.97% at 1Y Horizon
    • Step #2 – Global Systemic Stress Testing (GSST)
    • Credit Risk – The Anchor Set for GSST
    • Historical Credit Spread Studies
    • Scenario Design – Analyzing Patterns
    • Top 10 Credit Spread Events
    • Formulating GSST Scenarios
    • Step #3 – Business Specific Stress Tests
    • VaR-Stress integrates VaR and Stress Results
    • Illustration of VaR-Stress Process
    • Allocation of Total Risk Capital to each Business
    • Conclusion
    • GSST Stress Scenario Definitions
  • Integrated VaR and Stress Testing Risk Capital Methodology
    • Executive Summary
    • Model Scope, Purpose, and Functional Soundness
    • Functional Soundness Governance
    • Basis behind the Modeling Approach
    • Technical Soundness Considerations
    • Model Performance Testing and Outcomes Analysis
  • Integrated VaR and Stress Testing Risk Capital Methodology Validation
    • Brief Description of the Purpose of this Model
    • General Modeling Approach
    • Approximations or Algorithms
    • Brief Description of the Main Assumptions Underlying the Model
    • General Review
    • Alternative Approaches
    • Limitations of the General Modeling Framework
    • Limitations of any Particular Algorithms or Approximations
    • Cases Used in Testing
    • Error Analysis/Convergence Testing
    • Stress Testing
    • Benchmarking
    • Sensitivity Analysis
    • Conclusions
    • Model Description
    • Error Analysis/Convergence Testing
    • Conclusion
    • Benchmarking
    • References
  • Trading Risk Capital Beta Allocation
    • Allocation Methodology
    • Allocation Approach and Available Inputs
    • Allocation Algorithm for each Component
  • Two-Beta Allocation of Trading Capital
    • Executive Summary
    • Summary of Capital Allocation Approaches
    • Enhanced Approach for the Allocation
    • Incorporating Systemic Stresses
    • Old vs New Capital Allocations
    • Alternate Approaches Considered in the Past
    • Allocation Technical Details
    • Allocation Approach and Available Inputs
    • Allocation Algorithm for each Component
  • Reporting Flow
    • Overview
    • P&L Data Repository
    • Reporting
  • Enhanced Business Hierarchy for VaR Stress Estimation
    • Business Hierarchy Decisions
    • Considerations when Picking Business Reporting Options
  • Comparison of Hierarchies
    • Problem Statement
    • Principles and Goals
    • Need for Defining a Structural Truth
    • Current Definitions – Capital Segment
    • Current Definitions – Volcker
    • Example – Capital Markets Origination Business

DROP Specifications