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SACCR (version 1.5)

ExampleIRD: IRDs Example

Description

Calculates the Exposure at Default for the IRD example as given in the Basel III regulatory paper

Usage

ExampleIRD()

Arguments

Value

The exposure at default (expected value based on the Basel paper is 569)

References

Basel Committee: The standardised approach for measuring counterparty credit risk exposures http://www.bis.org/publ/bcbs279.htm