| Name : R-xVA
| |
| Version : 1.1
| Vendor : obs://build_opensuse_org/devel:languages:R
|
| Release : lp153.3.4
| Date : 2024-06-14 12:09:36
|
| Group : Development/Libraries/Other
| Source RPM : R-xVA-1.1-lp153.3.4.src.rpm
|
| Size : 0.07 MB
| |
| Packager : (none)
| |
| Summary : Calculates Credit Risk Valuation Adjustments
|
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.
|
RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Leap_15.3/x86_64 |
