exposureprofiles
Compute exposure profiles from credit exposures
Syntax
Description
computes common counterparty credit exposures profiles from an array of exposures. profilestructs
= exposureprofiles(dates
,exposures
)
adds optional name-value arguments.profilestructs
= exposureprofiles(___,Name,Value
)
Examples
Input Arguments
Name-Value Arguments
Output Arguments
References
[1] Basel II: International Convergence of Capital Measurement and Capital
Standards: A Revised Framework - Comprehensive Version. at https://www.bis.org/publ/bcbs128.htm
, 2006.
Version History
Introduced in R2014a
See Also
Topics
- Counterparty Credit Risk and CVA (Financial Instruments Toolbox)
- Wrong Way Risk with Copulas (Financial Instruments Toolbox)