| CalcVA {xVA} | R Documentation |
Calculates the Valuation Adjustment
Description
Calculates the Valuation Adjustment based on the exposure, the probability-of-default and the loss-given-default
Usage
CalcVA(exposure, discount_factors, PD, LGD)
Arguments
exposure |
A vector containing the exposure values on which the credit risk adjustment will be calculated |
discount_factors |
The Discount Curve |
PD |
The probability-of-Default |
LGD |
The Loss-Given-Default |
Value
The Valuation Adjustment Value
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
[Package xVA version 1.1 Index]