{"id":21,"date":"2008-03-16T22:36:18","date_gmt":"2008-03-16T21:36:18","guid":{"rendered":"http:\/\/localhost\/~johan\/wordpress\/?p=21"},"modified":"2021-03-23T22:21:32","modified_gmt":"2021-03-23T21:21:32","slug":"basel-ii-rwa-calculator-voor-iphone","status":"publish","type":"post","link":"https:\/\/www.chaosgeordend.nl\/wordpress\/2008\/03\/16\/basel-ii-rwa-calculator-voor-iphone\/","title":{"rendered":"Basel II RWA Calculator voor iPhone"},"content":{"rendered":"<div id=\"entry_img\"><img decoding=\"async\" src=\"https:\/\/www.chaosgeordend.nl\/mt-blog-cg\/images\/b2calc.png\" alt=\"Basel II icon.png\" \/><\/div>\n<p>Een must voor iedereen die met de invoering van Basel II bezig is geweest of die op dit moment een Basel II cursus volgt :-) Met deze iPhone calculator kan, voor eenvoudige gevallen, het RWA bedrag worden uitgerekend volgens de IRB methode.<\/p>\n<p>Je vind de <a href=\"https:\/\/www.itunes.com\/app\/RWACalculator\">RWACalculator in de AppStore<\/a> in de rubriek Financi\u00ebn.<br \/>\n<a href=\"https:\/\/www.chaosgeordend.nl\/documents\/RWA Formula.pdf\">Download RWA Berekening (PDF 100kB)<\/a><\/p>\n<p><!--more--><\/p>\n<p>A must-have for everyone who is, or has been, working on the implementation of Basel II or currently taking a BII training :-)<br \/>\nWith this iPhone calculator you can calculate, for a basic creditfacility, the RWA amount according to the IRB method.<\/p>\n<p>It is a simple example illustrating the BII RWA calculation basics. <a href=\"\/\/www.chaosgeordend.nl\/documents\/RWA Formula.pdf\">Download RWA Calculation (PDF 100kB)<\/a> rules used.<\/p>\n<p>You find the <a href=\"https:\/\/www.itunes.com\/app\/RWACalculator\">RWACalculator in the AppStore<\/a> in the Finance section.<\/p>\n<p><strong>[The RWA Calculator app discontinued as of november 2010]<\/strong><\/p>\n<p>The functionality in brief:<\/p>\n<pre lang=\"shell\">\r\nFACILITY\r\nEAD = MAX( MIN( Limit - (Drawn - Cashdeposit) ), Limit ), 0 ) * UGD\r\nRW = fn_RW( PD, LGD, Effective Maturity, Annual Sales )\r\nRWAfac = RW * EAD\r\nEXPOSURE\r\nEAD (pre Netting) = Nominal_amount * CCF + Accrued Interest + Accrued fees\r\nEADeff = EAD - ( Cashdeposit + Financial Collateral ) \/\/ EADeff is used to determine the effective LGD pct\r\nLGDeff = LGD * EADeff \/ EAD\r\nRW = fn_RW( PD, LGDeff, Effective Maturity, Annual Sales )\r\nEL = PD * LGDeff * EAD\r\nRWAexp = RW * EAD\r\nRWA\r\nRWAtotal = RWAfac + RWAexp\r\n<\/pre>\n<p>Wikipedia on Basel II:<\/p>\n<ul>\n<li><a href=\"https:\/\/en.wikipedia.org\/wiki\/Standardized_approach_(credit_risk)\">Standardized approach<\/a>;<\/li>\n<li><a href=\"https:\/\/en.wikipedia.org\/wiki\/Foundation_IRB\"> Foundation IRB<\/a>;<\/li>\n<li><a href=\"https:\/\/en.wikipedia.org\/wiki\/Advanced_IRB\">Advanced IRB<\/a>.<\/li>\n<\/ul>\n","protected":false},"excerpt":{"rendered":"<p>Een must voor iedereen die met de invoering van Basel II bezig is geweest of die op dit moment een Basel II cursus volgt :-) Met deze iPhone calculator kan, voor eenvoudige gevallen, het RWA bedrag worden uitgerekend volgens de IRB methode. Je vind de RWACalculator in de AppStore in de rubriek Financi\u00ebn. Download RWA &hellip; <\/p>\n<p class=\"link-more\"><a href=\"https:\/\/www.chaosgeordend.nl\/wordpress\/2008\/03\/16\/basel-ii-rwa-calculator-voor-iphone\/\" class=\"more-link\">Continue reading<span class=\"screen-reader-text\"> &#8220;Basel II RWA Calculator voor iPhone&#8221;<\/span><\/a><\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[22,23],"tags":[],"class_list":["post-21","post","type-post","status-publish","format-standard","hentry","category-basel_ii","category-iphone"],"_links":{"self":[{"href":"https:\/\/www.chaosgeordend.nl\/wordpress\/wp-json\/wp\/v2\/posts\/21","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.chaosgeordend.nl\/wordpress\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.chaosgeordend.nl\/wordpress\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.chaosgeordend.nl\/wordpress\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.chaosgeordend.nl\/wordpress\/wp-json\/wp\/v2\/comments?post=21"}],"version-history":[{"count":4,"href":"https:\/\/www.chaosgeordend.nl\/wordpress\/wp-json\/wp\/v2\/posts\/21\/revisions"}],"predecessor-version":[{"id":899,"href":"https:\/\/www.chaosgeordend.nl\/wordpress\/wp-json\/wp\/v2\/posts\/21\/revisions\/899"}],"wp:attachment":[{"href":"https:\/\/www.chaosgeordend.nl\/wordpress\/wp-json\/wp\/v2\/media?parent=21"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.chaosgeordend.nl\/wordpress\/wp-json\/wp\/v2\/categories?post=21"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.chaosgeordend.nl\/wordpress\/wp-json\/wp\/v2\/tags?post=21"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}