- This topic has 0 replies, 1 voice, and was last updated 7 years ago by .
Viewing 1 post (of 1 total)
-
Posts
-
Dear all!
I’ve implemented a kva calculation for the ccr following the IRB method.
It´s simply following the Basel rules by computing risk capital with the alpha weighted exposure and multiplication with the PD at 99.9 and a maturity adjustment factor also described in the Basel annex 4.
The risk capital charges are discounted with a capital discount factor and summed up to give the total ccr kva after being multiplied with the risk weight and a capital charge (following the RWA method).
If you’re interested I’ll post a pull request.Regards
Roland
Viewing 1 post (of 1 total)
- You must be logged in to reply to this topic.