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 25 Jun. 2026.
Previous versions and publish date:
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

foster  
Forest Structure Extrapolation with R
Set of tools to streamline the modeling of the relationship betweensatellite imagery time series or ...
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  
edeaR  
Exploratory and Descriptive Event-Based Data Analysis
Exploratory and descriptive analysis of event based data. Provides methods for describing and select ...
Download / Learn more Package Citations See dependency  
sitmo  
Parallel Pseudo Random Number Generator (PPRNG) 'sitmo' Header Files
Provided within are two high quality and fast PPRNGs that may be used in an 'OpenMP' parallel enviro ...
Download / Learn more Package Citations See dependency  
airGRiwrm  
'airGR' Integrated Water Resource Management
Semi-distributed Precipitation-Runoff Modelling based on 'airGR' package models integrating human i ...
Download / Learn more Package Citations See dependency  

27,535

R Packages

236,180

Dependencies

73,223

Author Associations

27,536

Publication Badges

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