Kva for default risk capital charges

[Anonymous]

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

[Author]

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