ExampleFXHedge: FX Example

In SACCR: SA Counterparty Credit Risk under CRR2

FX Example

Description

Calculates the Exposure at Default for the FX product type

Usage

ExampleFXHedge(
  JSON = FALSE,
  rwa_fx_cpty = NULL,
  rwa_cds_cpty = NULL,
  EAD_cds = NULL,
  hedging_approach = NULL,
  protection_percentage = NULL
)

Arguments

JSON	(optional) if TRUE it returns a json string
rwa_fx_cpty	(optional) The risk weight of the original counterparty
rwa_cds_cpty	(optional) The risk weight of the hedging counterparty
EAD_cds	(optional) The EAD of the hedging CDS contract
hedging_approach	(optional) The hedging approach, can be 'Current', 'TechnicalAmendment' or 'CappedProtection'
protection_percentage	(optional) if the hedging_approach is 'CappedProtection'

Value

The exposure at default

Author(s)

Tasos Grivas <[e-mail]>

References

Basel Committee: The standardised approach for measuring counterparty credit risk exposures http://www.bis.org/publ/bcbs279.htm

Technical Amendment - Hedging of counterparty credit risk exposures https://www.bis.org/bcbs/publ/d600.htm

Examples

tree_fx_hedge = ExampleFXHedge(rwa_fx_cpty = 0.2, rwa_cds_cpty = 0.2, EAD_cds = 14, hedging_approach = "CappedProtection", protection_percentage = 0.5)

SACCR documentation built on Dec. 26, 2025, 3 a.m.