Use MATLAB for computing regulatory capital in Basel IV frameworks

Basel IV is an unofficial term that commonly refers to the recent changes to the Third Basel Accord (Basel III). One of the major changes in Basel IV is the introduction of an output floor such that the risk weighted assets (RWAs) calculated by internal models must not be lower than 72.5% of the RWAs calculated by the standardized approaches. There phase-in period for implementing the output floor starts on January 1, 2022, and end on January 1, 2027.

Compared with Basel III, Basel IV introduces additional regulatory requirements and revises risk calculation methodologies in many areas, including:

For more information on risk management, regulatory compliance, and capital allocation infrastructures, see the examples below, which feature MATLAB® products for finance and deployment.

See also: risk management, credit risk, liquidity risk, operational risk, Solvency II, FRTB, CECL with MATLAB, fraud analytics

Modélisation CECL et IFRS 9 dans MATLAB : Modélisation et estimation des pertes de crédit attendues