A framework for estimating Basel IV capital requirements.
Basel Tools is a set of GUI applications that can produce a rough estimation of capital requirements based on the Basel IV regulatory framework proposed by the Basel Committee on Banking Supervision. The following applications are currently available:
BaselCCR: a tool for calculating the capital requirements related to the counterparty credit risk exposures.BaselOP: a tool for calculating the capital requirements related to the operational risk.The tool can be run by executing the BaselCCR.m script. The underlying calculations are based on the SA-CCR model defined within the BCBS 279, but the application also offers the option to compute the counterparty credit risk exposures using the Simplified SA-CCR as per CRR II european regulatory framework.
The tool can be run by executing the BaselOP.m script. The underlying calculations are based on the SMA model defined within the BCBS 356. The application offers the opportunity to compare the SMA capital requirements with those produced by the obsolete Basel II approaches defined in BCBS 128: the Basic Indicator Approach, the Standardised Approach and the Alternative Standardised Approach.
The minimum Matlab version required is R2017a. In addition, the following products and toolboxes must be installed in order to properly execute the script:
Basel Tools applications are defined within the BaselTools.jar package, which has been compiled under Java 1.8 and includes the original .java source code files. Depending on the current Matlab version being used (the console command version -java should provide enough details), it may be necessary to recompile it referencing the proper Java Framework version.Java components, all the Basel Tools applications use the findjobj.m script intensively. The script, created by Yair Altman, can be found by visiting this page and is always included into every Basel Tools release.Basel Tools suite make use of a singleton pattern.Basel Tools release.