LoadSupervisoryCVAData {xVA}R Documentation

Supervisory Data Loading

Description

Loads the supervisory data (factors, correlation and option volatility) for each Asset Class and SubClass

Usage

LoadSupervisoryCVAData()

Value

A list with the required data

Author(s)

Tasos Grivas <tasos@openriskcalculator.com>

References

MAR50 - Credit Value Adjustment Framework https://www.bis.org/basel_framework/chapter/MAR/50.htm?inforce=20230101&published=20200708


[Package xVA version 1.1 Index]