CalcPFE: Calculates the PFE
In sa-ccr/SACCR: SA Counterparty Credit Risk under CRR2
Description
Usage
Arguments
Value
Author(s)
References
Description
Calculates the Projected Future Exposure (PFE) after applying the relevant multiplier.
The purpose of this multiplier is to lessen the risk stemming from the addons in case of excess collateral
Usage
1
CalcPFE(V_C, Addon_Aggregate, simplified, V = 0)
Arguments
V_C
the difference between the sum of the MtMs and the collateral
Addon_Aggregate
the aggregate amount of the Addon
simplified
(optional) When TRUE, the multiplier will be set to 1 as per the simplified & OEM approach
V
the sum of MVs of the trades
Value
The Projected Future Exposure (PFE)
Author(s)
Tasos Grivas <info@openriskcalculator.com>
References
Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019
http://data.europa.eu/eli/reg/2019/876/oj
sa-ccr/SACCR documentation built on July 9, 2021, 10:18 p.m.
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Description Usage Arguments Value Author(s) References
Description
Calculates the Projected Future Exposure (PFE) after applying the relevant multiplier. The purpose of this multiplier is to lessen the risk stemming from the addons in case of excess collateral
Usage
1 | CalcPFE(V_C, Addon_Aggregate, simplified, V = 0)
|
Arguments
V_C |
the difference between the sum of the MtMs and the collateral |
Addon_Aggregate |
the aggregate amount of the Addon |
simplified |
(optional) When TRUE, the multiplier will be set to 1 as per the simplified & OEM approach |
V |
the sum of MVs of the trades |
Value
The Projected Future Exposure (PFE)
Author(s)
Tasos Grivas <info@openriskcalculator.com>
References
Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 http://data.europa.eu/eli/reg/2019/876/oj
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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