SA Counterparty Credit Risk under CRR2

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.


Reference manual

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3.0 by Tasos Grivas, 2 months ago

Browse source code at

Authors: Tasos Grivas

Documentation:   PDF Manual  

GPL-3 license

Imports methods, data.tree, jsonlite, Trading

Imported by xVA.

See at CRAN