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Computes the Exposure-At-Default based on the standardized approach of CRR2 (SA-CCR). The simplified version of SA-CCR has been included, as well as the OEM methodology. Multiple trade types of all the five major asset classes are being supported including the Other Exposure and, given the inheritance- based structure of the application, the addition of further trade types is straightforward. The application returns a list of trees per Counterparty and CSA after automatically separating the trades based on the Counterparty, the CSAs, the hedging sets, the netting sets and the risk factors. The basis and volatility transactions are also identified and treated in specific hedging sets whereby the corresponding penalty factors are applied. All the examples appearing on the regulatory papers (both for the margined and the unmargined workflow) have been implemented including the latest CRR2 developments.
| Version: | 3.3 |
| Imports: | methods, data.tree, jsonlite, Trading |
| Published: | 2025-05-13 |
| DOI: | 10.32614/CRAN.package.SACCR |
| Author: | Tasos Grivas [aut, cre] |
| Maintainer: | Tasos Grivas <info at openriskcalculator.com> |
| License: | GPL-3 |
| URL: | https://openriskcalculator.com/ |
| NeedsCompilation: | no |
| CRAN checks: | SACCR results |
| Reference manual: | SACCR.pdf |
| Package source: | SACCR_3.3.tar.gz |
| Windows binaries: | r-devel: SACCR_3.3.zip, r-release: SACCR_3.3.zip, r-oldrel: not available |
| macOS binaries: | r-release (arm64): SACCR_3.3.tgz, r-oldrel (arm64): SACCR_3.3.tgz, r-release (x86_64): not available, r-oldrel (x86_64): SACCR_3.3.tgz |
| Old sources: | SACCR archive |
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These binaries (installable software) and packages are in development.
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