capital

R2026b

Calculate BA-CVA capital requirements

Since R2026b

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Syntax

capitalResults = capital(myBACVA)

Description

capitalResults = capital(myBACVA) calculates the BA-CVA (Basic Approach for Credit Valuation Adjustment) capital requirements for each portfolio in the myBACVA argument.

  • If the Model property of myBACVA is "Full", then the function computes BA-CVA capital as the product of Kfull and the DiscountScalar property of the myBACVA argument.

  • If the Model property of myBACVA is "Reduced", then the function computes BA-CVA capital as the product of Kreduced and the DiscountScalar property of the myBACVA argument.

example

Examples

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Open Live Script

Create a bacva object with default properties using the ISDA (International Swaps and Derivatives Association) BA-CVA CRIF (Common Risk Interchange Format) file BACVA_CRIF_01.csv, which is attached to this example. Then use the capital object function to compute the BA-CVA capital requirements.

myBACVA = bacva("BACVA_CRIF_01.csv");
capital(myBACVA)
ans = 
  CapitalResults with properties:

               NumPortfolios: 21
                PortfolioIDs: [21×1 string]
                  Regulation: "Basel_MAR50"
            DomesticCurrency: "USD"
                       Model: "BA-CVA Full"
                        Beta: 0.2500
             CounterpartyRho: 0.5000
              DiscountScalar: 0.6500
                    EADModel: "SA-CCR"
                    Kreduced: [21×1 double]
                     Khedged: [21×1 double]
                       Kfull: [21×1 double]
                BACVACapital: [21×1 double]
     SensitivityResultsTable: [60×9 table]
    CounterpartyResultsTable: [51×7 table]
                ResultsTable: [21×14 table]

Input Arguments

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BA-CVA framework for calculating CVA capital requirements, specified as a bacva object.

Output Arguments

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BA-CVA capital requirement results, returned as a bacva.CapitalResults object. For information about the properties of this object, see bacva.CapitalResults Properties.

Version History

Introduced in R2026b

See Also

Objects

Properties

Topics

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