ExampleIRD: IRDs Example
In SACCR: SA Counterparty Credit Risk under CRR2
ExampleIRD R Documentation
IRDs Example
Description
Calculates the Exposure at Default for the IRD example as given in the Basel III regulatory paper
Usage
ExampleIRD(JSON = FALSE)
Arguments
JSON
(optional) if TRUE it returns a json string
Value
The exposure at default (expected value based on the Basel paper is 569)
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
SACCR documentation built on March 18, 2022, 7:01 p.m.
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| ExampleIRD | R Documentation |
IRDs Example
Description
Calculates the Exposure at Default for the IRD example as given in the Basel III regulatory paper
Usage
ExampleIRD(JSON = FALSE)
Arguments
JSON |
(optional) if TRUE it returns a json string |
Value
The exposure at default (expected value based on the Basel paper is 569)
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
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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