SACCR: SA Counterparty Credit Risk under Basel III

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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.

Author
Tasos Grivas
Date of publication
2016-11-29 19:23:26
Maintainer
Tasos Grivas <info@openriskcalculator.com>
License
GPL-3
Version
2.1
URLs

View on R-Forge

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

Files in this package

SACCR/DESCRIPTION
SACCR/NAMESPACE
SACCR/R
SACCR/R/CalcAddon.R
SACCR/R/CalcEAD.R
SACCR/R/CalcPFE.R
SACCR/R/CalcRC.R
SACCR/R/CalculateFactorMult.R
SACCR/R/CreateTradeGraph.R
SACCR/R/ExampleBasisVol.R
SACCR/R/ExampleComm.R
SACCR/R/ExampleCredit.R
SACCR/R/ExampleFX.R
SACCR/R/ExampleIRD.R
SACCR/R/ExampleIRDCommMargined.R
SACCR/R/ExampleIRDCredit.R
SACCR/R/GroupCommTrades.R
SACCR/R/GroupCreditTrades.R
SACCR/R/GroupEquityTrades.R
SACCR/R/GroupFXTrades.R
SACCR/R/GroupIRDTrades.R
SACCR/R/GroupTrades.R
SACCR/R/HandleBasisVol.R
SACCR/R/LoadSupervisoryData.R
SACCR/R/SACCRCalculator.R
SACCR/R/SingleTradeAddon.R
SACCR/R/runExampleCalcs.R
SACCR/inst
SACCR/inst/extdata
SACCR/inst/extdata/CSA.csv
SACCR/inst/extdata/CSA_basel.csv
SACCR/inst/extdata/coll.csv
SACCR/inst/extdata/coll_basel.csv
SACCR/inst/extdata/example_trades.csv
SACCR/inst/extdata/supervisory_factors.csv
SACCR/man
SACCR/man/CalcAddon.Rd
SACCR/man/CalcEAD.Rd
SACCR/man/CalcPFE.Rd
SACCR/man/CalcRC.Rd
SACCR/man/CreateTradeGraph.Rd
SACCR/man/ExampleBasisVol.Rd
SACCR/man/ExampleComm.Rd
SACCR/man/ExampleCredit.Rd
SACCR/man/ExampleFX.Rd
SACCR/man/ExampleIRD.Rd
SACCR/man/ExampleIRDCommMargined.Rd
SACCR/man/ExampleIRDCredit.Rd
SACCR/man/HandleBasisVol.Rd
SACCR/man/LoadSupervisoryData.Rd
SACCR/man/SACCRCalculator.Rd
SACCR/man/SingleTradeAddon.Rd