calcKVA {xVA}

Calculates the Capital Valuation Adjustment (KVA)

Description

Calculates the capital valuation adjustment by computing the default capital charge and the CVA capital charge and applying the required return-on-capital

Usage

calcKVA(
  CSA,
  collateral,
  trades,
  reg_data,
  time_points,
  EAD,
  effective_maturity,
  ignore_def_charge = TRUE
)

Arguments

CSA

The margin agreement with the counterparty

collateral

The current amount of collaterals currently exchanged with the counterparty

trades

The full list of the Trade Objects

reg_data

A list containing data related to the regulatory calculations (for example the 'framework' member variable can be 'IMM','SACCR','CEM')

time_points

The timepoints that the analysis is performed on

EAD

The Exposure-at-default calculated based on the prescribed framework as appearing in the 'reg_data'

effective_maturity

The effective maturity of the trades performed with a specific counterparty

ignore_def_charge

if set to true the default capital charge is set to zero

Value

The capital valuation adjustment (KVA)

Author(s)

Tasos Grivas <[e-mail]>