calcKVA {xVA} | R Documentation |
Calculates the capital valuation adjustment by computing the default capital charge and the CVA capital charge and applying the required return-on-capital
calcKVA(exposure_profile, CSA, collateral, trades, reg_data, time_points)
exposure_profile |
The exposure profile list containing the EE, EEE etc |
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 |
The capital valuation adjustment (KVA)
Tasos Grivas <tasos@openriskcalculator.com>