View source: R/calcCVACapital.R
calcCVACapital | R Documentation |
Calculates the CVA capital charge based on the standardized approach
calcCVACapital( trades, EAD, reg_data, superv, effective_maturity, cva_sensitivities )
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 |
The CVA capital charge of the trade set
Tasos Grivas <tasos@openriskcalculator.com>
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