DetermineCCRMethodology {SACCR}

Specifies the CCR methodology

Description

Determines the CCR methodology that the institution is eligible to utilize. The regulator allows the institutions to select less complicated methodologies when the derivatives trading business is negligible

Usage

DetermineCCRMethodology(trades_filename, total_assets)

Arguments

trades_filename

the file holding the trades of the portfolio

total_assets

the total assets of the institution in mio EUR

Value

The CCR methodology that the institution is eligible to utilize

Author(s)

Tasos Grivas <[e-mail]>

References

Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 http://data.europa.eu/eli/reg/2019/876/oj