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Counterparty Credit Risk Management

Counterparty Credit Risk Management: Project Home – R-Forge

Project description

This project contains techniques measuring the counterparty credit risk management based on the Basel III regulatory framework.

Currently, the SA-CCR exposure-at-default method and valuation adjustments including CVA, DVA, FVA, MVA, KVA are included.

Project Information

Development Status : 5 - Production/Stable
Intended Audience : End Users/Desktop
License : OSI Approved : GNU General Public License (GPL)
Natural Language : English
Programming Language : R
Topic : Finance : Derivatives
Topic : Finance : Fixed Income
Topic : Finance : Risk Management

Registered: 2015-09-20 17:34
Activity Ranking: 0
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Thanks to:

Vienna University of Economics and Business

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