Regulatory Disclaimers¶
Important Notice¶
CreditRiskEngine is an open-source analytical tool provided under the Apache 2.0 license. It is NOT a certified regulatory calculation system.
Usage Limitations¶
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Not a Substitute for Professional Judgment: The formulas and parameters implemented in this library reflect the developers' interpretation of published regulatory texts (BCBS d424, CRR3, PRA PS17/23, etc.). These interpretations may differ from those of your national supervisor.
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No Regulatory Endorsement: This software has not been reviewed, approved, or endorsed by the Basel Committee, EBA, PRA, Federal Reserve, RBI, or any other regulatory authority.
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Model Risk: Users are responsible for their own model validation, independent review, and regulatory approval processes. Line coverage in automated tests does not constitute model validation evidence.
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Jurisdiction-Specific Rules: Regulatory requirements vary by jurisdiction and are subject to change. YAML configuration files represent a snapshot in time and may not reflect the latest amendments, guidelines, or supervisory expectations.
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No Warranty: THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND. See the Apache 2.0 license for full terms.
Recommended Use Cases¶
| Use Case | Suitability |
|---|---|
| Education & Training | Excellent — learn Basel III mechanics hands-on |
| Prototyping & Research | Excellent — rapid iteration on capital models |
| Benchmarking | Good — cross-check vendor tools and internal models |
| Impact Analysis | Good — assess regulatory change impacts (CRR3, Basel IV) |
| Production (with validation) | Possible — requires independent model validation, audit, and supervisory approval |
| Sole Production System | Not recommended without thorough validation |
Regulatory Interpretation Choices¶
Where the Basel text is ambiguous, we have made the following choices:
| Topic | Our Interpretation | Alternative |
|---|---|---|
| PD floor for all IRB | 3 bps (CRE32.13) | Some jurisdictions apply 5 bps |
| QRRE transactor scalar | 0.75× applied (CRE31.9 fn 15) | Some implementations omit this |
| SME firm-size adjustment floor | S floored at EUR 5M | Some apply floor at EUR 1M |
| Maturity adjustment at 2.5y | MA > 1.0 (formula yields >1) | This is mathematically correct |
| UK PRA loan-splitting threshold | 55% of property value | Subject to PRA clarification |
Audit Trail¶
All calculations can be traced through the AuditTrail class which records:
- Input parameters (PD, LGD, EAD, maturity, asset class)
- Output values (K, RW, RWA, capital requirement)
- Regulatory reference (Basel paragraph number)
- Engine version and timestamp
- Any warnings or overrides applied
Reporting Issues¶
If you identify a discrepancy between this library's output and the regulatory text, please file an issue at: https://github.com/ankitjha67/baselkit/issues
Include the specific Basel/CRR3/PRA paragraph number and expected vs. actual values.