| ExampleComm {SACCR} | R Documentation |
Commodities Example
Description
Calculates the Exposure at Default for the Commodities example as given in the Basel III regulatory paper
Usage
ExampleComm(JSON = FALSE)
Arguments
JSON |
(optional) if TRUE it returns a json string |
Value
The exposure at default (expected value based on the Basel paper is 5406)
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
References
Basel Committee: The standardised approach for measuring counterparty credit risk exposures http://www.bis.org/publ/bcbs279.htm
[Package SACCR version 3.2 Index]