calcEADRegulatory

Calculates the Exposure-At-Default (EAD) based on the given regulatory framework. It supports the CEM, IMM and (simplified) SA-CCR frameworks

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

calcEADRegulatory function

<dl><dt>trades</dt>
<dd>The full list of the Trade Objects</dd>
<dt>framework</dt>
<dd>Specifies the regulatory framework used in the calculations. It can take the values of 'IMM', 'CEM', 'SA-CCR'</dd>
<dt>sa_ccr_simplified</dt>
<dd>(Optional) Specifies whether the standard SACCR or its simplified version or the OEM will be implemented. It can take the values of '', 'simplified', 'OEM'</dd>
<dt>CSA</dt>
<dd>The margin agreement with the counterparty</dd>
<dt>collateral</dt>
<dd>The amount of collaterals currently exchanged with the counterparty</dd>
<dt>EEE</dt>
<dd>A vector containing the effective expected exposure against the counterparty</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 Exposure-At-Default (EAD) — calcEADRegulatory

<dl>

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


<dt>framework</dt>
<dd>Specifies the regulatory framework used in the calculations. It can take the values of 'IMM', 'CEM', 'SA-CCR'</dd>


<dt>sa_ccr_simplified</dt>
<dd>(Optional) Specifies whether the standard SACCR or its simplified version or the OEM will be implemented. It can take the values of '', 'simplified', 'OEM'</dd>


<dt>CSA</dt>
<dd>The margin agreement with the counterparty</dd>


<dt>collateral</dt>
<dd>The amount of collaterals currently exchanged with the counterparty</dd>


<dt>EEE</dt>
<dd>A vector containing the effective expected exposure against the counterparty</dd>


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

</dl>

calcEADRegulatory: Calculates the Exposure-At-Default (EAD)

Description

Usage

Value

Arguments

Author