calcDefCapital

The full list of the Trade Objects

trades

The Exposure-At-Default of the trades as per the selected regulatory framework

A list containing data related to the regulatory calculations (for example the regulatory probability-of-default, the regulatory loss-given-default etc)

reg_data

The effective maturity of the trades of the netting set

effective_maturity

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

Calculates a number of valuation adjustments including CVA, DVA,
FBA, FCA, MVA and KVA. A two-way margin agreement has been implemented. For
the KVA calculation three regulatory frameworks are supported: CEM, SA-CCR and
IMM. The probability of default is implied through the credit spreads curve.
Currently, only IRSwaps are supported. For more information, you can check
one of the books regarding xVA: <http://www.cvacentral.com/books/credit-value-adjustment>.

calcDefCapital: Calculates the Default Capital Charge

Description

Usage

Arguments

Value