CalcEAD: Calculates the EAD
In SACCR: SA Counterparty Credit Risk under CRR2
CalcEAD R Documentation
Calculates the EAD
Description
Calculates the Exposure at Default
Usage
CalcEAD(RC, PFE)
Arguments
RC
the replacement cost
PFE
the projected future exposure
Value
The Exposure-at-Default
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
References
Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019
http://data.europa.eu/eli/reg/2019/876/oj
Examples
#returns 1.4*(60+500) = 784
EAD <- CalcEAD(60,500)
SACCR documentation built on March 18, 2022, 7:01 p.m.
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| CalcEAD | R Documentation |
Calculates the EAD
Description
Calculates the Exposure at Default
Usage
CalcEAD(RC, PFE)
Arguments
RC |
the replacement cost |
PFE |
the projected future exposure |
Value
The Exposure-at-Default
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
References
Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 http://data.europa.eu/eli/reg/2019/876/oj
Examples
#returns 1.4*(60+500) = 784 EAD <- CalcEAD(60,500)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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