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SACCR
View on CRAN: Click
here
Download and install SACCR package within the R console
Install from CRAN:
install.packages("SACCR")
Install from Github:
library("remotes")
install_github("cran/SACCR")
Install by package version:
library("remotes")
install_version("SACCR", "3.2")
Attach the package and use:
library("SACCR")
Maintained by
Tasos Grivas
[Scholar Profile | Author Map]
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2015-10-11
Latest Update: 2022-02-28
Description:
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.
How to cite:
Tasos Grivas (2015). SACCR: SA Counterparty Credit Risk under CRR2. R package version 3.2, https://cran.r-project.org/web/packages/SACCR
Previous versions and publish date:
Other packages that cited SACCR R package
View SACCR citation profile
Other R packages that SACCR depends,
imports, suggests or enhances
Functions, R codes and Examples using
the SACCR R package
Some associated functions: CalcAddon . CalcEAD . CalcPFE . CalcRC . CreateTradeGraph . DetermineCCRMethodology . ExampleBasisVol . ExampleComm . ExampleCredit . ExampleFX . ExampleIRD . ExampleIRDCommMargined . ExampleIRDCredit . HandleBasisVol . LoadSupervisoryData . SACCRCalculator . SingleTradeAddon .
Some associated R codes: CalcAddon.R . CalcEAD.R . CalcPFE.R . CalcRC.R . CalculateFactorMult.R . CreateTradeGraph.R . DetermineCCRMethodology.R . ExampleBasisVol.R . ExampleComm.R . ExampleCredit.R . ExampleFX.R . ExampleIRD.R . ExampleIRDCommMargined.R . ExampleIRDCredit.R . GroupCommTrades.R . GroupCreditTrades.R . GroupEquityTrades.R . GroupFXTrades.R . GroupIRDTrades.R . GroupOtherTrades.R . GroupTrades.R . HandleBasisVol.R . LoadSupervisoryData.R . SACCRCalculator.R . SingleTradeAddon.R . onLoad.R . runExampleCalcs.R . Full SACCR package functions and examples
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