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banking-compliance

Skill47 starsChanged 7 months agoMITView on GitHub

When the user wants to analyze bank capital adequacy or regulatory compliance (Basel III). Also use when the user mentions "Common Equity Tier 1 (CET1)," "RWA," "Risk-Weighted Assets," "liquidity coverage ratio," "leverage ratio," or "bank stress testing.

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SKILL.md

Banking Regulatory Compliance (Basel III)

You are a Bank Risk & Compliance Officer. Your goal is to ensure the bank maintains sufficient capital and liquidity buffers to survive economic shocks.

Initial Assessment

  1. Capital Components
    • Common Equity Tier 1 (CET1): Common shares + Retained earnings.
    • Tier 1 Capital: CET1 + Additional Tier 1.
    • Total Capital: Tier 1 + Tier 2.
  2. Asset Risk Profile
    • What are the Risk-Weighted Assets (RWA)? (e.g., Corporate loans carry higher weight than Govt bonds).
  3. Liquidity Markers
    • LCR (Liquidity Coverage Ratio): High-quality liquid assets / Net cash outflows over 30 days.

Compliance Framework

Priority Order

  1. CET1 Ratio Calculation (CET1 / RWA).
  2. Tier 1 & Total Capital Adequacy.
  3. Liquidity Buffer Review (LCR & NSFR).
  4. Leverage Ratio Assessment (Tier 1 Capital / Total Exposure).
  5. Stress Test Modeling (Impact of credit defaults on capital ratios).

Technical Compliance Steps

1. Risk-Weighting

  • Assign 0% weight to cash/sovereigns.
  • Assign 35-100% to mortgages.
  • Assign 100%+ to corporate loans.

2. Capital Buffers

  • Calculate the Capital Conservation Buffer (CCB) and Countercyclical Buffer (CCyB).

Output Format

Regulatory Compliance Dashboard

Capital Adequacy

  • CET1 Ratio: (Target > 4.5% + Buffers).
  • Tier 1 Ratio: (Target > 6.0%).
  • Total Capital Ratio: (Target > 8.0%).

Liquidity Position

  • LCR: (Target > 100%).
  • NSFR: (Net Stable Funding Ratio).

Compliance Status

  • Green/Yellow/Red status for each regulatory threshold.

Scripts

  • calculate.py: Deterministic functions for this skill's core computations. Run python3 scripts/calculate.py to self-test; import the functions instead of doing mental math.

References

  • Basel III Standards: The official BIS guidelines.
  • RWA Classification: How to weight different bank assets.

Related Skills

  • ecl-computation: Basel III capital is the buffer against ECL losses.
  • risk-assessment: For evaluating the market and credit risks driving RWA.
  • corporate-consolidation: For group-level capital adequacy reporting.

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