CalcVA

Calculates the Valuation Adjustment based on the exposure, the probability-of-default 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

CalcVA function

<dl><dt>exposure</dt>
<dd>A vector containing the exposure values on which the credit risk adjustment will be calculated</dd>
<dt>discount_factors</dt>
<dd>The Discount Curve</dd>
<dt>PD</dt>
<dd>The probability-of-Default</dd>
<dt>LGD</dt>
<dd>The Loss-Given-Default</dd></dl>

Arguments

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

Author

Calculates the Valuation Adjustment — CalcVA

<dl>

<dt>exposure</dt>
<dd>A vector containing the exposure values on which the credit risk adjustment will be calculated</dd>


<dt>discount_factors</dt>
<dd>The Discount Curve</dd>


<dt>PD</dt>
<dd>The probability-of-Default</dd>


<dt>LGD</dt>
<dd>The Loss-Given-Default</dd>

</dl>

CalcVA: Calculates the Valuation Adjustment

Description

Usage

Value

Arguments

Author