{
  "@context": "https://schema.org",
  "@type": "Dataset",
  "identifier": "fin-lexicon-supervisory-stress-calibration-panel",
  "name": "FinLexicon Wiki Quantitative Model Equations & Multi-Period Stress Calibration Panel (2024–2026)",
  "description": "Verifiable mathematical specifications, closed-form equations, sample input parameters, and multi-period 2024–2026 benchmark outputs used by FinLexicon Wiki's interactive calculators and institutional risk engines. Enables reproducible backtesting and independent model validation.",
  "url": "https://finlexicon.org/datasets#fin-lexicon-supervisory-stress-calibration-panel",
  "version": "2026.4",
  "temporalCoverage": "2024-01-01/2026-12-31",
  "spatialCoverage": "Global G-SIB Jurisdictions (US, EU, UK, Switzerland, APAC)",
  "license": "https://creativecommons.org/licenses/by/4.0/",
  "isAccessibleForFree": true,
  "dateModified": "2026-10-22",
  "keywords": [
    "quantitative model calibration",
    "financial calculator formulas",
    "supervisory stress testing parameters",
    "FinLexicon Wiki model validation dataset",
    "Basel III CET1 capital conservation buffer",
    "Liquidity Coverage Ratio LCR NSFR",
    "BCBS-IOSCO UMR Phase 6 AANA threshold"
  ],
  "creator": {
    "@type": "Organization",
    "name": "FinLexicon Wiki",
    "url": "https://finlexicon.org"
  },
  "isBasedOn": [
    {
      "@type": "CreativeWork",
      "name": "Basel Committee on Banking Supervision (BCBS) — Basel Framework",
      "url": "https://www.bis.org/basel_framework/"
    },
    {
      "@type": "CreativeWork",
      "name": "BCBS-IOSCO — Margin Requirements for Non-Centrally Cleared Derivatives (UMR)",
      "url": "https://www.bis.org/bcbs/publ/d499.htm"
    },
    {
      "@type": "CreativeWork",
      "name": "International Swaps and Derivatives Association (ISDA) — SIMM & CSA Standards",
      "url": "https://www.isda.org/margin-reform/"
    },
    {
      "@type": "CreativeWork",
      "name": "European Banking Authority (EBA) — Single Rulebook & CRR III",
      "url": "https://www.eba.europa.eu/regulation-and-policy/single-rulebook"
    },
    {
      "@type": "CreativeWork",
      "name": "FinLexicon Wiki Primary Regulatory Reference (bis.org)",
      "url": "https://www.bis.org/basel_framework/index.htm"
    },
    {
      "@type": "CreativeWork",
      "name": "FinLexicon Wiki Primary Regulatory Reference (mas.gov.sg)",
      "url": "https://www.mas.gov.sg/regulation/capital-markets/cms-licence"
    }
  ],
  "distribution": [
    {
      "@type": "DataDownload",
      "encodingFormat": "text/csv",
      "contentUrl": "https://finlexicon.org/api/datasets/fin-lexicon-supervisory-stress-calibration-panel?format=csv"
    },
    {
      "@type": "DataDownload",
      "encodingFormat": "application/json",
      "contentUrl": "https://finlexicon.org/api/datasets/fin-lexicon-supervisory-stress-calibration-panel?format=json"
    }
  ],
  "columns": [
    {
      "key": "modelId",
      "label": "Model / Parameter ID",
      "unitOrFormat": "Identifier",
      "description": "Unique quantitative model or stress calibration identifier."
    },
    {
      "key": "modelName",
      "label": "Model / Calibration Series",
      "unitOrFormat": "Text",
      "description": "Name of the pricing engine, risk calculator, or stress parameter."
    },
    {
      "key": "category",
      "label": "Analytical Domain",
      "unitOrFormat": "Category",
      "description": "Quantitative discipline or regulatory pillar."
    },
    {
      "key": "formulaSpecification",
      "label": "Equation / Convention Spec",
      "unitOrFormat": "Formula / Rule",
      "description": "Mathematical identity, LaTeX expression, or statutory calculation rule."
    },
    {
      "key": "calibrationInputRegime",
      "label": "Reference Input Regime",
      "unitOrFormat": "Parameters",
      "description": "Standardized institutional input vector used for baseline verification."
    },
    {
      "key": "benchmarkOutput2026",
      "label": "Verified 2026 Output",
      "unitOrFormat": "Calibrated Value",
      "description": "Expected deterministic output or 2026 regime corridor."
    },
    {
      "key": "validationAuthority",
      "label": "Methodology Standard",
      "unitOrFormat": "Authority / Text",
      "description": "Primary regulatory rulebook or canonical quantitative reference."
    },
    {
      "key": "temporalWindow",
      "label": "Panel Window",
      "unitOrFormat": "Period Range",
      "description": "Historical and forward calibration window covered by the panel."
    }
  ],
  "rowCount": 5,
  "rows": [
    {
      "modelId": "MOD-FIN-LE-01",
      "modelName": "Basel III CET1 Buffer Stack & 72.5% Output Floor Reference Matrix",
      "category": "Prudential Compliance Lookup",
      "formulaSpecification": "\\text{RWA}_{\\text{floored}} = \\max\\left(\\text{RWA}_{\\text{IRB}},\\; 0.725 \\times \\text{RWA}_{\\text{Std}}\\right)",
      "calibrationInputRegime": "G-SIB Bucket 3 (+2.0%), CCyB = 1.0%, IRB RWA = $410B, Std RWA = $600B",
      "benchmarkOutput2026": "Required CET1 = 10.0% | Floored RWA = $435B ($43.5B Min CET1)",
      "validationAuthority": "BIS Basel Framework RBC20 & FLO10",
      "temporalWindow": "2024-Q1 to 2026-Q4"
    },
    {
      "modelId": "CAL-BASEL-CET1",
      "modelName": "Basel III Minimum CET1 + Capital Conservation Buffer Stress & Regime Calibration",
      "category": "Multi-Year Regime Panel (2024–2026)",
      "formulaSpecification": "G-SIB buckets add +1.0% to +3.5% CET1 surcharge",
      "calibrationInputRegime": "2024–2025 Baseline Window · Cadence: Quarterly Pillar 3 Disclosure",
      "benchmarkOutput2026": "7.0% Floor (4.5% CET1 + 2.5% CCB + G-SIB Surcharge) (Composite Weight: 96/100)",
      "validationAuthority": "Basel Committee on Banking Supervision (BCBS)",
      "temporalWindow": "2024-Q1 to 2026-Q4"
    },
    {
      "modelId": "CAL-BASEL-LCR-NSFR",
      "modelName": "Liquidity Coverage Ratio (LCR) & NSFR Floor Stress & Regime Calibration",
      "category": "Multi-Year Regime Panel (2024–2026)",
      "formulaSpecification": "Level 1 HQLA (0% haircut) · Level 2A (15% haircut)",
      "calibrationInputRegime": "2024–2025 Baseline Window · Cadence: Daily Internal / Quarterly Filing",
      "benchmarkOutput2026": "≥ 100% HQLA over 30-Day Net Stressed Outflows (Composite Weight: 94/100)",
      "validationAuthority": "BCBS / Federal Reserve / ECB SSM",
      "temporalWindow": "2024-Q2 to 2026-Q4"
    },
    {
      "modelId": "CAL-BCBS-IOSCO-UMR",
      "modelName": "ISDA SIMM / UMR Phase 6 AANA Threshold Stress & Regime Calibration",
      "category": "Multi-Year Regime Panel (2024–2026)",
      "formulaSpecification": "Max $50M Initial Margin (IM) exchange threshold per counterparty",
      "calibrationInputRegime": "2024–2025 Baseline Window · Cadence: Annual March–May AANA Calculation",
      "benchmarkOutput2026": "$50B / €50B Group Aggregate Average Notional (Composite Weight: 91/100)",
      "validationAuthority": "BCBS-IOSCO / CFTC / ESMA",
      "temporalWindow": "2024-Q3 to 2026-Q4"
    },
    {
      "modelId": "CAL-ISDA-VM-CSA",
      "modelName": "ISDA Credit Support Annex (VM CSA) Settlement Stress & Regime Calibration",
      "category": "Multi-Year Regime Panel (2024–2026)",
      "formulaSpecification": "Minimum Transfer Amount (MTA) typically capped at $500k",
      "calibrationInputRegime": "2024–2025 Baseline Window · Cadence: Daily Margin Call 10:00 Local",
      "benchmarkOutput2026": "T+0 / T+1 Daily Variation Margin ($0 Threshold) (Composite Weight: 89/100)",
      "validationAuthority": "ISDA 2016/2021 VM CSA Standard",
      "temporalWindow": "2024-Q4 to 2026-Q4"
    }
  ]
}