Counterparty Credit Risk Management: Project Home – R-Forge

This project contains techniques measuring the counterparty credit risk management based on the Basel III regulatory framework.

Currently, the SA-CCR exposure-at-default method and valuation adjustments including CVA, DVA, FVA, MVA, KVA are included.

• Development Status : 5 - Production/Stable
• Intended Audience : End Users/Desktop
• License : OSI Approved : GNU General Public License (GPL)
• Natural Language : English
• Programming Language : R
• Topic : Finance : Derivatives
• Topic : Finance : Fixed Income
• Topic : Finance : Risk Management

Registered: 2015-09-20 17:34
Activity Ranking: 0
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