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  • #6228

    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.


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