imanuelcostigan/creditriskau: Credit Risk Capital Tools for Australia

Determine credit risk capital related quantities in accordance Australian Prudential Standards ('APS') published by the Australian Prudential Regulation Authority ('APRA'). This includes risk weighting functions under the Internal Ratings Based (IRB) approaches to credit risk (APS 113) and regulatory capital calculations for counterparty credit risk (APS 180).

install.packages("remotes")
remotes::install_github("imanuelcostigan/creditriskau")