calcCVACapital {xVA}

Calculates the CVA Capital Charge

Description

Calculates the CVA capital charge based on the standardized approach

Usage

calcCVACapital(
  trades,
  EAD,
  reg_data,
  superv,
  effective_maturity,
  cva_sensitivities
)

Arguments

trades

The full list of the Trade Objects

EAD

Exposure-at-Default

reg_data

A list containing data related to the regulatory calculations

superv

A list containing supervisory data including correlations, risk weights etc

effective_maturity

The effective maturity of the trades of the netting set

cva_sensitivities

The effective maturity of the trades of the netting set

Value

The CVA capital charge of the trade set

Author(s)

Tasos Grivas <[e-mail]>