DetermineCCRMethodology: Specifies the CCR methodology
In sa-ccr/SACCR: SA Counterparty Credit Risk under CRR2
Description
Usage
Arguments
Value
Author(s)
References
View source: R/DetermineCCRMethodology.R
Description
Determines the CCR methodology that the institution is eligible to utilize.
The regulator allows the institutions to select less complicated methodologies when the derivatives trading business is negligible
Usage
1
DetermineCCRMethodology(trades_filename, total_assets)
Arguments
trades_filename
the file holding the trades of the portfolio
total_assets
the total assets of the institution in mio EUR
Value
The CCR methodology that the institution is eligible to utilize
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
View source: R/DetermineCCRMethodology.R
Description
Determines the CCR methodology that the institution is eligible to utilize. The regulator allows the institutions to select less complicated methodologies when the derivatives trading business is negligible
Usage
1 | DetermineCCRMethodology(trades_filename, total_assets)
|
Arguments
trades_filename |
the file holding the trades of the portfolio |
total_assets |
the total assets of the institution in mio EUR |
Value
The CCR methodology that the institution is eligible to utilize
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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