irb-rw

IRB Risk Weight Calculator

Risk weight, risk-weighted assets and capital requirement under the Basel internal ratings-based formulas. Enter the parameters of a single exposure; results update as you type.

Inputs

Regulatory regime

Enter LGD directly, or use the collateral mix below to derive it.

Clamped to 1 to 5 years.

Collateral mix

Unsecured share is the remainder. Values are supervisory LGDs for the selected regime.

Exposure

Leave EAD empty to see the risk weight only.

Risk weight across PD

PD on a log scale

Parameters used

ItemValue

Comparison across exposure classes

Exposure classCorrelationRisk weightRelative risk weight

Same PD and LGD, with the current maturity for corporate exposures.

Methodology

Capital requirement

The capital requirement for a non-defaulted exposure is

K = LGD × Φ((Φ⁻¹(PD) + √R × Φ⁻¹(0.999)) / √(1 − R)) − PD × LGD

floored at zero, and multiplied by the maturity adjustment for corporate exposures.

Risk weight is RW = K × 12.5 × 100, before the scaling factor that applies to the pre-2025 regime.

Correlation
  • Corporate: R = 0.12 × A + 0.24 × (1 − A), with A = (1 − e^(−50·PD)) / (1 − e^(−50)).
  • Residential mortgage: R = 0.15.
  • Qualifying revolving retail: R = 0.04.
  • Other retail: R = 0.03 × B + 0.16 × (1 − B), with B = (1 − e^(−35·PD)) / (1 − e^(−35)).
Regime differences
  • CRR3, from 2025: no 1.06 scaling factor; PD floor 0.05% for corporate and retail, 0.10% for qualifying revolving retail; supervisory LGD of 40% unsecured and 20% for residential real estate.
  • CRR, before 2025: 1.06 scaling factor; PD floor 0.03%; supervisory LGD of 45% unsecured and 35% for residential real estate.

Financial collateral carries a supervisory LGD of zero in both regimes.

What is not applied

The firm-size adjustment for small and medium-sized entities, the 1.25 multiplier for large financial sector entities, double default treatment, and any supervisory add-on or floor set by a competent authority. Results are for a single exposure, not a portfolio.