Standardized Approach - Counterparty Credit Risk (SA-CCR)

버전 1.0.0 (10.9 KB) 작성자: MathWorks Quant Team
This is a MATLAB example for calculating EAD based on example 1 in the annex 4a of BCBS 279
0.0
(0)
다운로드 수: 85
업데이트 날짜: 2019/2/25

라이선스 보기

This example shows how to calculate the Exposure-at-Default (EAD) of interest-rate instruments under the SA-CCR using MATLAB, which is based on example 1 in the annex 4a of BCBS 279.

인용 양식

MathWorks Quant Team (2024). Standardized Approach - Counterparty Credit Risk (SA-CCR) (https://www.mathworks.com/matlabcentral/fileexchange/70287-standardized-approach-counterparty-credit-risk-sa-ccr), MATLAB Central File Exchange. 검색됨 .

MATLAB 릴리스 호환 정보
개발 환경: R2018b
R2018b 이상 릴리스와 호환
플랫폼 호환성
Windows macOS Linux
카테고리
Help Center 및 MATLAB Answers에서 Industrial Statistics에 대해 자세히 알아보기

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

버전 게시됨 릴리스 정보
1.0.0