calcKVA

Calculates the capital valuation adjustment by computing the default capital charge and the CVA capital charge and applying the required return-on-capital

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

calcKVA function

<dl><dt>CSA</dt>
<dd>The margin agreement with the counterparty</dd>
<dt>collateral</dt>
<dd>The current amount of collaterals currently exchanged with the counterparty</dd>
<dt>trades</dt>
<dd>The full list of the Trade Objects</dd>
<dt>reg_data</dt>
<dd>A list containing data related to the regulatory calculations (for example the 'framework' member variable can be 'IMM','SACCR','CEM')</dd>
<dt>time_points</dt>
<dd>The timepoints that the analysis is performed on</dd>
<dt>EAD</dt>
<dd>The Exposure-at-default calculated based on the prescribed framework as appearing in the 'reg_data'</dd>
<dt>effective_maturity</dt>
<dd>The effective maturity of the trades performed with a specific counterparty</dd>
<dt>ignore_def_charge</dt>
<dd>if set to true the default capital charge is set to zero</dd></dl>

Arguments

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

Author

Calculates the Capital Valuation Adjustment (KVA) — calcKVA

<dl>

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


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


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


<dt>reg_data</dt>
<dd>A list containing data related to the regulatory calculations (for example the 'framework' member variable can be 'IMM','SACCR','CEM')</dd>


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


<dt>EAD</dt>
<dd>The Exposure-at-default calculated based on the prescribed framework as appearing in the 'reg_data'</dd>


<dt>effective_maturity</dt>
<dd>The effective maturity of the trades performed with a specific counterparty</dd>


<dt>ignore_def_charge</dt>
<dd>if set to true the default capital charge is set to zero</dd>

</dl>

calcKVA: Calculates the Capital Valuation Adjustment (KVA)

Description

Usage

Value

Arguments

Author