SACCR: SA Counterparty Credit Risk under Basel III

Computes the Exposure-At-Default based on standardized approach of the Basel III Regulatory framework (SA-CCR). Currently, trade types of all the five major asset classes have been created and, given the inheritance- based structure of the application, the addition of further trade types is straightforward. The application returns a list of trees (one per CSA) after automatically separating the trades based on the CSAs, the hedging sets, the netting sets and the risk factors. The basis and volatility transactions are also identified and treated in specific hedging sets whereby the corresponding penalty factors are applied. All the examples appearing on the regulatory paper (including the margined and the un-margined workflow) have been implemented including the latest FAQ enhancements.

Getting started

Package details

AuthorTasos Grivas
MaintainerTasos Grivas <[email protected]>
Package repositoryView on CRAN
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SACCR documentation built on May 1, 2019, 8 p.m.