Standardized Approach - Counterparty Credit Risk (SA-CCR)

Version 1.0.0 (10,9 ko) par 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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Mise à jour 25 fév. 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.

Citation pour cette source

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. Récupéré le .

Compatibilité avec les versions de MATLAB
Créé avec R2018b
Compatible avec les versions R2018b et ultérieures
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Version Publié le Notes de version
1.0.0