Basel Tools
Basel Tools
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.
BaselCCR
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.
BaselOP
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
.
Requirements
The minimum Matlab version required is R2017a
. In addition, the following products and toolboxes must be installed in order to properly execute the script:
- Financial Toolbox
- Statistics and Machine Learning Toolbox
Notes
- Some common functionalities of all the
Basel Tools
applications are defined within theBaselTools.jar
package, which has been compiled underJava 1.8
and includes the original.java
source code files. Depending on the current Matlab version being used (the console commandversion -java
should provide enough details), it may be necessary to recompile it referencing the properJava Framework
version. - In order to have a full control over the underlying
Java
components, all theBasel Tools
applications use thefindjobj.m
script intensively. The script, created by Yair Altman, can be found by visiting this page and is always included into everyBasel Tools
release. - All the applications that are part of the
Basel Tools
suite make use of a singleton pattern. - Excel datasets should be pretty straightforward to create, as they must follow the same structure of the example ones included into every
Basel Tools
release. - All the values included in the datasets or manually entered inside the applications must be expressed in the same currency.
Citation pour cette source
Tommaso Belluzzo (2024). Basel Tools (https://github.com/TommasoBelluzzo/BaselTools), GitHub. Extrait(e) le .
Compatibilité avec les versions de MATLAB
Plateformes compatibles
Windows macOS LinuxCatégories
- Computational Finance > Financial Instruments Toolbox >
- MATLAB > App Building > Develop Apps Using App Designer >
- Computational Finance > Financial Toolbox > Financial Data Analytics >
- Computational Finance > Financial Toolbox > Price and Analyze Financial Instruments >
- Computational Finance > Risk Management Toolbox >
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Version | Publié le | Notes de version | |
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1.2.0 | GitHub Version |
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1.1.5 | Minor fixes and improvements. |
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1.1.4 | Updated details concerning compatibility & requirements. |
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1.1.3 | Updated details concerning compatibility & requirements. |
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1.1.2 | Minor fixes and improvements. |
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1.1.1 | Project website. |
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1.1.0 | Target release. |
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1.0.9 | Improved tags. |
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1.0.8 | Improved tags. |
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1.0.7 | Improved tags. |
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1.0.6 | Improved description. |
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1.0.5 | Improved description. |
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1.0.4 | Improved description. |
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1.0.3 | Screenshot added. |
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1.0.2 | Minor fixes and improvements. |
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1.0.1 | Added details concerning compatibility & requirements. |
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1.0.0 |
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