ead
Description
computes exposure at default (EAD) value for each portfolio using the
outEADResults
= ead(saccrObject
)saccr
object. For more information, see Exposure at Default.
You can use the aggregate
and aggregateByCounterparty
functions with the
outEADResults
.
Examples
Input Arguments
Output Arguments
More About
References
[1] Bank for International Settlements. "CRE52 - Standardised Approach to Counterparty Credit Risk." June 2020. Available at: https://www.bis.org/basel_framework/chapter/CRE/52.htm.
[2] Bank for International Settlements. "CRE22 - Standardised Approach: Credit Risk Migration." November 2020. Available at: https://www.bis.org/basel_framework/chapter/CRE/22.htm.
[3] Bank for International Settlements. "Basel Committee on Banking Supervision: The Standardised Approach for Measuring Counterparty Credit Risk Exposures." April 2014. Available at: https://www.bis.org/publ/bcbs279.pdf.
Version History
Introduced in R2024a
See Also
aggregate
| aggregateByCounterparty
| rc
| addOn
| pfe
Topics
- Framework for Standardized Approach to Calculating Counterparty Credit Risk: Introduction
- Create saccr Object and Compute Regulatory Values for Interest-Rate Swap
- Create saccr Object and Compute Regulatory Values for Forward FX Swap
- Create saccr Object and Compute Regulatory Values for Two CDS Trades
- Create saccr Object and Compute Regulatory Values for Multiple Asset Classes
- Create saccr Object and Compute Regulatory Values for Multiple Asset Classes with Netting Set
- Create saccr Object and Compute Regulatory Values for Multiple Asset Classes with Netting Set and Collateral Set
- Create saccr Object and Compute Regulatory Values for Multiple Asset Classes with Netting Set, Collateral Set, and Collateral Positions
- Create saccr Object and Compute Regulatory Values for Multiple Portfolios Containing Multiple Asset Classes
- SA-CCR Transactional Elements
- ISDA SA-CCR CRIF File Specifications