Default FIRB with supervisory LGD has zero K and EL equal to LGD times EAD. Own-estimate AIRB and retail use positive LGD minus ELBE for K and ELBE for EL. This corrects the default branch in version 1.2.0 (CRR Articles 153, 154, 158).
library(riskweightedassets)
irb_capital_requirement(1, .4, .2, 2.5, defaulted = TRUE, elbe = .1,
lgd_treatment = "SUPERVISORY")## [1] 0irb_capital_requirement(1, .4, .2, 2.5, defaulted = TRUE, elbe = .1,
lgd_treatment = "OWN_ESTIMATES")## [1] 0.3For EAD 1,000,000 these give RWEA 0 / 3,750,000 and expected loss 400,000 / 100,000 respectively. Coverage 250,000 produces FIRB shortfall 150,000 and excess zero. The portfolio tests verify these values and their own-funds and output-floor consequences in both reporting views.
Default calls require explicit lgd_treatment. Default normalises PD to one; a PD of one without default is rejected. Portfolio output retains pd_input, effective pd, defaulted and lgd_treatment. FIRB maps to SUPERVISORY; AIRB (including supported retail) maps to OWN_ESTIMATES. FIRB retail, unknown subclasses and unsupported approaches fail closed. Slotting has no separate implementation and must not be sent through this formula. The existing OTHER_RETAIL alias remains accepted by the direct correlation helper; canonical portfolio retail subclass is RETAIL_OTHER.
Performing formulas, retail correlations and maturity-adjustment rules are unchanged. Published reference inputs are unchanged, and historical output snapshots must not be mistaken for acceptance results of the corrected version.