Credit Risk Valuation Adjustments
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Documentation for package ‘xVA’ version 1.3
Help Pages
| calcCVACapital | Calculates the CVA Capital Charge |
| calcDefCapital | Calculates the Default Capital Charge |
| calcEADRegulatory | Calculates the Exposure-At-Default (EAD) |
| calcEffectiveMaturity | Calculates the Effective Maturity |
| calcKVA | Calculates the Capital Valuation Adjustment (KVA) |
| CalcNGR | Calculates the Net/Gross ratio (NGR) |
| CalcPD | Calculates the Probablity of Default |
| CalcSimulatedExposure | Calculated the Simulated Exposure Profile |
| CalcVA | Calculates the Valuation Adjustment |
| IS_ELIGIBLE_CCY | Checks if specified currency is low risk |
| IS_IG | Checks if Credit rating is Investment Grade |
| LoadSupervisoryCVAData | Supervisory Data Loading |
| xVACalculator | Calculates the xVA values |
| xVACalculatorExample | xVA calculation example |