sa_ccr_multiplier_value: Counterparty, SFT, Securitisation, CVA and Settlement...

In riskweightedassets: Reproducible Risk-Weighted Asset Calculations

Counterparty, SFT, Securitisation, CVA and Settlement Formulae

Description

Granular formula interface for SA-CCR, SFT, securitisation approaches, BA-CVA and settlement risk. Rates are decimal values.

Usage

sa_ccr_multiplier_value(V, C, addon, parameters = NULL)

sa_ccr_exposure_value(V, C, addon, alpha, parameters = NULL)

sft_exposure_value(cash_leg, security_value, security_haircut, fx_haircut)

securitisation_irb_pool_capital(
  rwea_pool_irb_ul,
  el_pool_irb,
  pool_ead,
  parameters = NULL
)

securitisation_sa_pool_capital(rwea_pool_sa, pool_ead, parameters = NULL)

securitisation_ssfa_coefficient(ka, attachment, detachment, p)

securitisation_ssfa_risk_weight(
  pool_k,
  attachment,
  detachment,
  p,
  floor,
  parameters = NULL
)

securitisation_irba_p(
  pool_type,
  senior,
  effective_number,
  pool_k,
  average_lgd,
  tranche_maturity,
  sts,
  parameters = NULL
)

securitisation_erba_risk_weight(
  cqs,
  maturity,
  senior,
  sts,
  attachment,
  detachment,
  parameters = NULL
)

securitisation_risk_weight(
  approach,
  pool_k,
  attachment,
  detachment,
  p,
  sts = FALSE,
  senior = FALSE,
  resecuritisation = FALSE,
  cqs = 0,
  parameters = NULL
)

cva_basic_approach_capital(items, parameters = NULL)

settlement_risk_factor(days_late, parameters = NULL)

Arguments

V, C	Current value and collateral under SA-CCR.
addon	Aggregate SA-CCR add-on.
parameters	Optional parameter data frame or store.
alpha	SA-CCR regulatory alpha.
cash_leg, security_value	Monetary SFT legs.
security_haircut, fx_haircut	Haircuts.
rwea_pool_irb_ul, el_pool_irb, rwea_pool_sa, pool_ead	Pool inputs.
ka, pool_k	Pool capital ratio.
attachment, detachment	Tranche attachment and detachment points.
p	Supervisory SSFA parameter.
floor	Minimum risk weight.
pool_type	Pool category.
senior, sts, resecuritisation	Logical tranche flags.
effective_number	Effective number of pool exposures.
average_lgd	Average pool LGD.
tranche_maturity, maturity	Maturity in years.
cqs	Credit-quality step.
approach	Securitisation approach.
items	BA-CVA rows, each with the documented nine numeric fields.
days_late	Settlement delay in days.

Value

Numeric formula result or named vector.

See Also

analyze_counterparty_risk(), analyze_securitisation()

Examples

sa_ccr_exposure_value(100, 30, 20, 1.4)
sft_exposure_value(100, 90, 0.1, 0.05)

riskweightedassets documentation built on Sept. 24, 2026, 5:12 p.m.