Basel RWA Scenario Modeler

Run SA-CR, F-IRB, and A-IRB RWA scenarios simultaneously across a configurable synthetic credit portfolio. Compare RWA under each approach, apply the Basel 3.1 output floor (72.5%), and see percentile distributions across Monte Carlo book samples. Natural chain partner to ART-07. UK PRA PS1/26 go-live January 1, 2027. Client-side. Zero PII.

AP2 Export Chains: ART-07 · QFA-02 UK PRA Jan 1, 2027 JS Parallel · 3 Approaches Zero PII

🔒 Synthetic portfolio only. No real loan book data. Runs entirely in your browser.

⚠ Educational/simulation only. SA-CR risk weights per BCBS d424 / UK PRA PS1/26. F-IRB and A-IRB parameters are indicative. Not for regulatory reporting.

Scenarios to run

SA-CR (Standardised) F-IRB (Foundation IRB) A-IRB (Advanced IRB) Output-Floor Constrained

Portfolio parameters

Total EAD (£ billions)

Asset class mix

Monte Carlo scenarios

Avg F-IRB PD (%)

1.5%

Average probability of default, F-IRB approach

F-IRB LGD (%)

45%

F-IRB: supervisory LGD (45% unsecured, 25% secured)

A-IRB avg PD (%)

1.2%

Average PD, bank-estimated (A-IRB — typically lower than F-IRB)

A-IRB avg LGD (%)

32%

Bank-estimated LGD, A-IRB (typically lower than supervisory 45%)

Scenario comparison — central estimate

Output floor analysis (72.5% of SA-CR)

Percentile distribution (Monte Carlo)

Chain to ART-07 & QFA-02

→ ART-07 Basel Delta → QFA-02 VaR Engine