calcCVACapital: Calculates the CVA Capital Charge

In xVA: Calculates Credit Risk Valuation Adjustments

Calculates the CVA Capital Charge

Description

Calculates the CVA capital charge based on the standardized approach

Usage

calcCVACapital(
  trades,
  EAD,
  reg_data,
  superv,
  effective_maturity,
  cva_sensitivities
)

Arguments

trades	The full list of the Trade Objects
EAD	Exposure-at-Default
reg_data	A list containing data related to the regulatory calculations
superv	A list containing supervisory data including correlations, risk weights etc
effective_maturity	The effective maturity of the trades of the netting set
cva_sensitivities	The effective maturity of the trades of the netting set

Value

The CVA capital charge of the trade set

Author(s)

Tasos Grivas <[e-mail]>

xVA documentation built on Sept. 9, 2022, 3:04 p.m.