Standardized Approach - Counterparty Credit Risk (SA-CCR)

Version 1.0.0 (10.9 KB) by MathWorks Quant Team
This is a MATLAB example for calculating EAD based on example 1 in the annex 4a of BCBS 279
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Updated 25 Feb 2019

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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.

Cite As

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. Retrieved .

MATLAB Release Compatibility
Created with R2018b
Compatible with R2018b and later releases
Platform Compatibility
Windows macOS Linux

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Version Published Release Notes
1.0.0