calcDefCapital

Calculates the default capital charge using the advanced IRB methodology and the stressed R

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

calcDefCapital function

<dl><dt>trades</dt>
<dd>The full list of the Trade Objects</dd>
<dt>EAD</dt>
<dd>The Exposure-At-Default of the trades as per the selected regulatory framework</dd>
<dt>reg_data</dt>
<dd>A list containing data related to the regulatory calculations (for example the regulatory probability-of-default, the regulatory loss-given-default etc)</dd>
<dt>effective_maturity</dt>
<dd>The effective maturity of the trades of the netting set</dd></dl>

Arguments

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

Author

Calculates the Default Capital Charge — calcDefCapital

<dl>

<dt>trades</dt>
<dd>The full list of the Trade Objects</dd>


<dt>EAD</dt>
<dd>The Exposure-At-Default of the trades as per the selected regulatory framework</dd>


<dt>reg_data</dt>
<dd>A list containing data related to the regulatory calculations (for example the regulatory probability-of-default, the regulatory loss-given-default etc)</dd>


<dt>effective_maturity</dt>
<dd>The effective maturity of the trades of the netting set</dd>

</dl>

calcDefCapital: Calculates the Default Capital Charge

Description

Usage

Value

Arguments

Author