calcEADRegulatory: Calculates the Exposure-At-Default (EAD)

In xVA: Calculates Credit Risk Valuation Adjustments

Calculates the Exposure-At-Default (EAD)

Description

Calculates the Exposure-At-Default (EAD) based on the given regulatory framework. It supports the CEM, IMM and (simplified) SA-CCR frameworks

Usage

calcEADRegulatory(
  trades,
  framework,
  sa_ccr_simplified = "",
  CSA,
  collateral,
  EEE,
  time_points
)

Arguments

trades	The full list of the Trade Objects
framework	Specifies the regulatory framework used in the calculations. It can take the values of 'IMM', 'CEM', 'SA-CCR'
sa_ccr_simplified	(Optional) Specifies whether the standard SACCR or its simplified version or the OEM will be implemented. It can take the values of ”, 'simplified', 'OEM'
CSA	The margin agreement with the counterparty
collateral	The amount of collaterals currently exchanged with the counterparty
EEE	A vector containing the effective expected exposure against the counterparty
time_points	The timepoints that the analysis is performed on

Value

The Exposure-At-Default

Author(s)

Tasos Grivas <[e-mail]>

xVA documentation built on Aug. 28, 2022, 1:06 a.m.