ExampleCredit: Credit Products Example
In sa-ccr/SACCR: SA Counterparty Credit Risk under CRR2
Description
Usage
Arguments
Value
Author(s)
References
View source: R/ExampleCredit.R
Description
Calculates the Exposure at Default for the Credit example as given in the Basel III regulatory paper
Usage
1
ExampleCredit(JSON = FALSE)
Arguments
JSON
(optional) if TRUE it returns a json string
Value
The exposure at default (expected value based on the Basel paper is 381)
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
References
Basel Committee: The standardised approach for measuring counterparty credit risk exposures
http://www.bis.org/publ/bcbs279.htm
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/ExampleCredit.R
Description
Calculates the Exposure at Default for the Credit example as given in the Basel III regulatory paper
Usage
1 | ExampleCredit(JSON = FALSE)
|
Arguments
JSON |
(optional) if TRUE it returns a json string |
Value
The exposure at default (expected value based on the Basel paper is 381)
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
References
Basel Committee: The standardised approach for measuring counterparty credit risk exposures http://www.bis.org/publ/bcbs279.htm
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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