ExampleIRDCommMargined {SACCR}

Margined IRDs+Commodity Example

Description

Calculates the Exposure at Default for the margined IRDs + Commodity example as given in the Basel III regulatory paper

Usage

ExampleIRDCommMargined(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 1879)

Author(s)

Tasos Grivas <[e-mail]>

References

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