| Name : R-SACCR
| |
| Version : 3.2
| Vendor : obs://build_opensuse_org/devel:languages:R
|
| Release : lp156.4.1
| Date : 2024-06-24 15:21:57
|
| Group : Development/Libraries/Other
| Source RPM : R-SACCR-3.2-lp156.4.1.src.rpm
|
| Size : 0.11 MB
| |
| Packager : https://www_suse_com/
| |
| Summary : SA Counterparty Credit Risk under CRR2
|
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.
|
RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/15.6/x86_64 |
