LoadSupervisoryCVAData: Supervisory Data Loading
In xVA: Calculates Credit Risk Valuation Adjustments
View source: R/LoadSupervisoryCVAData.R
LoadSupervisoryCVAData R Documentation
Supervisory Data Loading
Description
Loads the supervisory data (factors, correlation and option volatility)
for each Asset Class and SubClass
Usage
LoadSupervisoryCVAData()
Value
A list with the required data
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
References
MAR50 - Credit Value Adjustment Framework
https://www.bis.org/basel_framework/chapter/MAR/50.htm?inforce=20230101&published=20200708
xVA documentation built on Aug. 28, 2022, 1:06 a.m.
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View source: R/LoadSupervisoryCVAData.R
| LoadSupervisoryCVAData | R Documentation |
Supervisory Data Loading
Description
Loads the supervisory data (factors, correlation and option volatility) for each Asset Class and SubClass
Usage
LoadSupervisoryCVAData()
Value
A list with the required data
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
References
MAR50 - Credit Value Adjustment Framework https://www.bis.org/basel_framework/chapter/MAR/50.htm?inforce=20230101&published=20200708
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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