SACCR: SA Counterparty Credit Risk under Basel III
Version 2.1

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.

Getting started

Package details

AuthorTasos Grivas
Date of publication2016-11-28 13:26:21
MaintainerTasos Grivas <[email protected]>
LicenseGPL-3
Version2.1
URL www.openriskcalculator.com
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("SACCR")

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SACCR documentation built on May 29, 2017, 7:20 p.m.