calcDefCapital: Calculates the Default Capital Charge
In xVA: Calculates Credit Risk Valuation Adjustments
View source: R/calcDefCapital.R
calcDefCapital R Documentation
Calculates the Default Capital Charge
Description
Calculates the default capital charge using the advanced IRB methodology and the stressed R
Usage
calcDefCapital(trades, EAD, reg_data, effective_maturity)
Arguments
trades
The full list of the Trade Objects
EAD
The Exposure-At-Default of the trades as per the selected regulatory framework
reg_data
A list containing data related to the regulatory calculations (for example the regulatory probability-of-default, the regulatory loss-given-default etc)
effective_maturity
The effective maturity of the trades of the netting set
Value
The default capital charge
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
xVA documentation built on Sept. 9, 2022, 3:04 p.m.
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View source: R/calcDefCapital.R
| calcDefCapital | R Documentation |
Calculates the Default Capital Charge
Description
Calculates the default capital charge using the advanced IRB methodology and the stressed R
Usage
calcDefCapital(trades, EAD, reg_data, effective_maturity)
Arguments
trades |
The full list of the Trade Objects |
EAD |
The Exposure-At-Default of the trades as per the selected regulatory framework |
reg_data |
A list containing data related to the regulatory calculations (for example the regulatory probability-of-default, the regulatory loss-given-default etc) |
effective_maturity |
The effective maturity of the trades of the netting set |
Value
The default capital charge
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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