calcDefCapital: Calculates the Default Capital Charge

Description Usage Arguments Value Author(s)

View source: R/calcDefCapital.R

Description

Calculates the default capital charge using the advanced IRB methodology and the stressed R

Usage

1
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 <[email protected]>


xVA documentation built on May 31, 2017, 3:26 a.m.