DetermineCCRMethodology: Specifies the CCR methodology
In SACCR: SA Counterparty Credit Risk under CRR2
View source: R/DetermineCCRMethodology.R
DetermineCCRMethodology R Documentation
Specifies the CCR methodology
Description
Determines the CCR methodology that the institution is eligible to utilize.
The regulator allows the institutions to select less complicated methodologies when the derivatives trading business is negligible
Usage
DetermineCCRMethodology(trades_filename, total_assets)
Arguments
trades_filename
the file holding the trades of the portfolio
total_assets
the total assets of the institution in mio EUR
Value
The CCR methodology that the institution is eligible to utilize
Author(s)
Tasos Grivas <info@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
SACCR documentation built on March 18, 2022, 7:01 p.m.
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View source: R/DetermineCCRMethodology.R
| DetermineCCRMethodology | R Documentation |
Specifies the CCR methodology
Description
Determines the CCR methodology that the institution is eligible to utilize. The regulator allows the institutions to select less complicated methodologies when the derivatives trading business is negligible
Usage
DetermineCCRMethodology(trades_filename, total_assets)
Arguments
trades_filename |
the file holding the trades of the portfolio |
total_assets |
the total assets of the institution in mio EUR |
Value
The CCR methodology that the institution is eligible to utilize
Author(s)
Tasos Grivas <info@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
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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