LoadSupervisoryData {SACCR}R Documentation

Supervisory Data Loading

Description

Loads the supervisory data (factors, correlation and option volatility) for each Asset Class and SubClass

Usage

LoadSupervisoryData()

Value

A data frame with the required data

Author(s)

Tasos Grivas <tasos@openriskcalculator.com>

References

Basel Committee: The standardised approach for measuring counterparty credit risk exposures http://www.bis.org/publ/bcbs279.htm


[Package SACCR version 2.3 Index]