CalcPD

Calculates the probablity of the default on specific time points by using the spread of the corresponding credit curve and the loss given default

Calculates a number of valuation adjustments including CVA, DVA,
FBA, FCA, MVA and KVA. A two-way margin agreement has been implemented. For
the KVA calculation three regulatory frameworks are supported: CEM, (simplified) SA-CCR, OEM
and IMM. The probability of default is implied through the credit spreads curve.
The package supports an exposure calculation based on SA-CCR which includes several trade types
and a simulated path which is currently available only for IRSwaps. The latest regulatory capital charge methodologies
have been implementing including BA-CVA & SA-CVA.

Tasos Grivas

Calculates Credit Risk Valuation Adjustments

CalcPD function

<dl><dt>spread</dt>
<dd>The spread based on the credit curve</dd>
<dt>LGD</dt>
<dd>The loss-given-default</dd>
<dt>time_points</dt>
<dd>The timepoints that the analysis is performed on</dd></dl>

Arguments

Tasos Grivas &lt;tasos@openriskcalculator.com&gt;

Author

Calculates the Probablity of Default — CalcPD

<dl>

<dt>spread</dt>
<dd>The spread based on the credit curve</dd>


<dt>LGD</dt>
<dd>The loss-given-default</dd>


<dt>time_points</dt>
<dd>The timepoints that the analysis is performed on</dd>

</dl>

CalcPD: Calculates the Probablity of Default

Description

Usage

Value

Arguments

Author