Other packages > Find by keyword >

SACCR  

SA Counterparty Credit Risk under CRR2
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", "3.4")



Attach the package and use:
library("SACCR")
Maintained by
Tasos Grivas
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2015-10-11
Latest Update: 2025-05-13
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 3.4, https://cran.r-project.org/web/packages/SACCR. Accessed 10 Oct. 2026.
Previous versions and publish date:
(2026-07-09 08:24), 1.0 (2015-10-11 16:58), 1.1 (2015-12-28 11:55), 1.5 (2016-03-04 08:25), 2.0 (2016-11-22 09:06), 2.1 (2016-11-28 13:26), 2.3 (2019-01-13 13:20), 3.0 (2020-08-24 11:10), 3.1 (2021-07-05 11:00), 3.2 (2022-02-28 10:40), 3.3 (2025-05-13 10:30)
Other packages that cited SACCR R package
View SACCR citation profile
Other R packages that SACCR depends, imports, suggests or enhances
Complete documentation for SACCR
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

adespatial  
Multivariate Multiscale Spatial Analysis
Tools for the multiscale spatial analysis of multivariate data. Several methods are based on the us ...
Download / Learn more Package Citations See dependency  
quickcode  
Quick and Essential 'R' Tricks for Better Scripts
The NOT functions, 'R' tricks and a compilation of some simple quick plus often used 'R' codes to im ...
Download / Learn more Package Citations See dependency  
RPEnsemble  
Random Projection Ensemble Classification
Implements the methodology of "Cannings, T. I. and Samworth, R. J. (2017) Random-projection ensemble ...
Download / Learn more Package Citations See dependency  
keyATM  
Keyword Assisted Topic Models
Fits keyword assisted topic models (keyATM) using collapsed Gibbs samplers. The keyATM combines the ...
Download / Learn more Package Citations See dependency  
eoR  
Data Management Package (Exposure and Occurrence Data in R)
This data management package provides some helper classes for publicly available data sources (HMD, ...
Download / Learn more Package Citations See dependency  

28,989

R Packages

247,686

Dependencies

76,729

Author Associations

28,990

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA