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xVA  

Calculates Credit Risk Valuation Adjustments
View on CRAN: Click here


Download and install xVA package within the R console
Install from CRAN:
install.packages("xVA")

Install from Github:
library("remotes")
install_github("cran/xVA")

Install by package version:
library("remotes")
install_version("xVA", "1.1")



Attach the package and use:
library("xVA")
Maintained by
Tasos Grivas
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2016-01-20
Latest Update: 2022-08-27
Description:
Calculates a number of valuation adjustments including CVA, DVA, FBA, FCA, MVA and KVA. A two-way margin agreement has been implemented. For the KVA calculation three regulatory frameworks are supported: CEM, (simplified) SA-CCR, OEM and IMM. The probability of default is implied through the credit spreads curve. The package supports an exposure calculation based on SA-CCR which includes several trade types and a simulated path which is currently available only for IRSwaps. The latest regulatory capital charge methodologies have been implementing including BA-CVA & SA-CVA.
How to cite:
Tasos Grivas (2016). xVA: Calculates Credit Risk Valuation Adjustments. R package version 1.1, https://cran.r-project.org/web/packages/xVA. Accessed 03 Dec. 2024.
Previous versions and publish date:
0.8.1 (2016-11-26 17:37), 0.8.5 (2020-08-30 03:00), 0.8 (2016-01-20 09:24), 1.0 (2022-03-16 19:20), 1.1 (2022-08-28 00:20)
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