CalcEAD {SACCR} | R Documentation |
Calculates the Exposure at Default
CalcEAD(RC, PFE)
RC |
the replacement cost |
PFE |
the projected future exposure |
The Exposure-at-Default
Tasos Grivas <tasos@openriskcalculator.com>
Basel Committee: The standardised approach for measuring counterparty credit risk exposures http://www.bis.org/publ/bcbs279.htm
#returns 1.4*(60+500) = 784 EAD <- CalcEAD(60,500)