calcKVA: Calculates the Capital Valuation Adjustment (KVA)

In xVA: Calculates Credit Risk Valuation Adjustments

Calculates the Capital Valuation Adjustment (KVA)

Description

Calculates the capital valuation adjustment by computing the default capital charge and the CVA capital charge and applying the required return-on-capital

Usage

calcKVA(
  CSA,
  collateral,
  trades,
  reg_data,
  time_points,
  EAD,
  effective_maturity,
  ignore_def_charge = TRUE
)

Arguments

CSA	The margin agreement with the counterparty
collateral	The current amount of collaterals currently exchanged with the counterparty
trades	The full list of the Trade Objects
reg_data	A list containing data related to the regulatory calculations (for example the 'framework' member variable can be 'IMM','SACCR','CEM')
time_points	The timepoints that the analysis is performed on
EAD	The Exposure-at-default calculated based on the prescribed framework as appearing in the 'reg_data'
effective_maturity	The effective maturity of the trades performed with a specific counterparty
ignore_def_charge	if set to true the default capital charge is set to zero

Value

The capital valuation adjustment (KVA)

Author(s)

Tasos Grivas <[e-mail]>

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