SACCR: SA Counterparty Credit Risk under Basel III
Version 2.2

Computes the Exposure-At-Default based on standardized approach of the Basel III Regulatory framework (SA-CCR). Currently, trade types of all the five major asset classes have been created and, given the inheritance- based structure of the application, the addition of further trade types is straightforward. The application returns a list of trees (one per CSA) after automatically separating the trades based on the CSAs, the hedging sets, the netting sets and the risk factors. The basis and volatility transactions are also identified and treated in specific hedging sets whereby the corresponding penalty factors are applied. All the examples appearing on the regulatory paper (including the margined and the un-margined workflow) have been implemented.

AuthorTasos Grivas
Date of publication2017-01-03 19:13:24
MaintainerTasos Grivas <info@openriskcalculator.com>
LicenseGPL-3
Version2.2
URL www.openriskcalculator.com
Package repositoryView on R-Forge
InstallationInstall the latest version of this package by entering the following in R:
install.packages("SACCR", repos="http://R-Forge.R-project.org")

Popular man pages

CalcAddon: Calculates the Addon amount
CalcEAD: Calculates the EAD
CalcPFE: Calculates the PFE
CalcRC: Calculates the RC
ExampleBasisVol: Basis+Volatility trades Example
SACCRCalculator: SA-CCR Calculator
SingleTradeAddon: Calculates the addon information
See all...

All man pages Function index File listing

Man pages

CalcAddon: Calculates the Addon amount
CalcEAD: Calculates the EAD
CalcPFE: Calculates the PFE
CalcRC: Calculates the RC
CreateTradeGraph: Creates a tree-like structure of a list of trades
ExampleBasisVol: Basis+Volatility trades Example
ExampleComm: Commodities Example
ExampleCredit: Credit Products Example
ExampleFX: FX Example
ExampleIRD: IRDs Example
ExampleIRDCommMargined: Margined IRDs+Commodity Example
ExampleIRDCredit: IRDs+Commodity Example
HandleBasisVol: Splits trades in being basis, volatility or 'normal'...
LoadSupervisoryData: Supervisory Data Loading
SACCRCalculator: SA-CCR Calculator
SingleTradeAddon: Calculates the addon information

Functions

CalcAddon Man page Source code
CalcEAD Man page Source code
CalcPFE Man page Source code
CalcRC Man page Source code
CalculateFactorMult Source code
CreateTradeGraph Man page Source code
ExampleBasisVol Man page Source code
ExampleComm Man page Source code
ExampleCredit Man page Source code
ExampleFX Man page Source code
ExampleIRD Man page Source code
ExampleIRDCommMargined Man page Source code
ExampleIRDCredit Man page Source code
GroupCommTrades Source code
GroupCreditTrades Source code
GroupEquityTrades Source code
GroupFXTrades Source code
GroupIRDTrades Source code
GroupTrades Source code
HandleBasisVol Man page Source code
LoadSupervisoryData Man page Source code
SACCRCalculator Man page Source code
SingleTradeAddon Man page Source code
runExampleCalcs Source code

Files

DESCRIPTION
NAMESPACE
R
R/CalcAddon.R
R/CalcEAD.R
R/CalcPFE.R
R/CalcRC.R
R/CalculateFactorMult.R
R/CreateTradeGraph.R
R/ExampleBasisVol.R
R/ExampleComm.R
R/ExampleCredit.R
R/ExampleFX.R
R/ExampleIRD.R
R/ExampleIRDCommMargined.R
R/ExampleIRDCredit.R
R/GroupCommTrades.R
R/GroupCreditTrades.R
R/GroupEquityTrades.R
R/GroupFXTrades.R
R/GroupIRDTrades.R
R/GroupTrades.R
R/HandleBasisVol.R
R/LoadSupervisoryData.R
R/SACCRCalculator.R
R/SingleTradeAddon.R
R/runExampleCalcs.R
inst
inst/extdata
inst/extdata/CSA.csv
inst/extdata/CSA_basel.csv
inst/extdata/coll.csv
inst/extdata/coll_basel.csv
inst/extdata/example_trades.csv
inst/extdata/supervisory_factors.csv
man
man/CalcAddon.Rd
man/CalcEAD.Rd
man/CalcPFE.Rd
man/CalcRC.Rd
man/CreateTradeGraph.Rd
man/ExampleBasisVol.Rd
man/ExampleComm.Rd
man/ExampleCredit.Rd
man/ExampleFX.Rd
man/ExampleIRD.Rd
man/ExampleIRDCommMargined.Rd
man/ExampleIRDCredit.Rd
man/HandleBasisVol.Rd
man/LoadSupervisoryData.Rd
man/SACCRCalculator.Rd
man/SingleTradeAddon.Rd
SACCR documentation built on May 21, 2017, 12:56 a.m.

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