| calcDefCapital {xVA} | R Documentation |
Calculates the Default Capital Charge
Description
Calculates the default capital charge using the advanced IRB methodology and the stressed R
Usage
calcDefCapital(trades, EAD, reg_data, effective_maturity)
Arguments
trades |
The full list of the Trade Objects |
EAD |
The Exposure-At-Default of the trades as per the selected regulatory framework |
reg_data |
A list containing data related to the regulatory calculations (for example the regulatory probability-of-default, the regulatory loss-given-default etc) |
effective_maturity |
The effective maturity of the trades of the netting set |
Value
The default capital charge
Author(s)
Tasos Grivas <tasos@openriskcalculator.com>
[Package xVA version 1.1 Index]