CRAN/E | SACCR

SACCR

SA Counterparty Credit Risk under CRR2

Installation

About

Computes the Exposure-At-Default based on the standardized approach of CRR2 (SA-CCR). The simplified version of SA-CCR has been included, as well as the OEM methodology. Multiple trade types of all the five major asset classes are being supported including the 'Other' Exposure and, given the inheritance- based structure of the application, the addition of further trade types is straightforward. The application returns a list of trees per Counterparty and CSA after automatically separating the trades based on the Counterparty, the CSAs, the hedging sets, the netting sets and the risk factors. The basis and volatility transactions are also identified and treated in specific hedging sets whereby the corresponding penalty factors are applied. All the examples appearing on the regulatory papers (both for the margined and the un-margined workflow) have been implemented including the latest CRR2 developments.

openriskcalculator.com/

Key Metrics

Version 3.2
Published 2022-02-28 836 days ago
Needs compilation? no
License GPL-3
CRAN checks SACCR results

Downloads

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Maintainer

Maintainer

Tasos Grivas

Authors

Tasos Grivas

Material

Reference manual
Package source

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

SACCR archive

Imports

methods
data.tree
jsonlite
Trading

Reverse Imports

xVA