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.

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Vienna University of Economics and Business University of Wisconsin - Madison Powered By FusionForge