Calculates the EAD

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Description

Calculates the Exposure at Default

Usage

1
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

Basel Committee: The standardised approach for measuring counterparty credit risk exposures http://www.bis.org/publ/bcbs279.htm

Examples

1
2
#returns 1.4*(60+500) = 784
EAD <- CalcEAD(60,500)