Standardized Approach - Counterparty Credit Risk (SA-CCR)

Versione 1.0.0 (10,9 KB) da MathWorks Quant Team
This is a MATLAB example for calculating EAD based on example 1 in the annex 4a of BCBS 279
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Aggiornato 25 feb 2019

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This example shows how to calculate the Exposure-at-Default (EAD) of interest-rate instruments under the SA-CCR using MATLAB, which is based on example 1 in the annex 4a of BCBS 279.

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MathWorks Quant Team (2024). Standardized Approach - Counterparty Credit Risk (SA-CCR) (https://www.mathworks.com/matlabcentral/fileexchange/70287-standardized-approach-counterparty-credit-risk-sa-ccr), MATLAB Central File Exchange. Recuperato .

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Creato con R2018b
Compatibile con R2018b e release successive
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1.0.0