capital

R2026b

Calculate SA-CVA capital requirements

Since R2026b

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Syntax

capitalResults = capital(mySACVA)

Description

capitalResults = capital(mySACVA) calculates the SA-CVA (Standardized Approach for Credit Valuation Adjustment) capital requirements for each portfolio in the mySACVA argument. The function computes the SA-CVA capital by first summing the Delta capital and Vega capital, and then multiplying that sum by the Multiplier property of the mySACVA argument.

example

Examples

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Open Live Script

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

mySACVA = sacva("SACVA_CRIF_Mixed.csv");
capital(mySACVA)
ans = 
  CapitalResults with properties:

          NumPortfolios: 3
           PortfolioIDs: [3×1 string]
             Regulation: "Basel_MAR50"
       DomesticCurrency: "USD"
                  Model: "SA-CVA"
             Multiplier: 1
                      R: 0.0100
              IRCapital: [3×1 double]
              FXCapital: [3×1 double]
           CSCPYCapital: [3×1 double]
           CSREFCapital: [3×1 double]
              EQCapital: [3×1 double]
            COMMCapital: [3×1 double]
           DeltaCapital: [3×1 double]
            VegaCapital: [3×1 double]
           SACVACapital: [3×1 double]
    DeltaCapitalResults: [1×1 sacva.DeltaCapitalResults]
     VegaCapitalResults: [1×1 sacva.VegaCapitalResults]
           ResultsTable: [3×16 table]

Input Arguments

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SA-CVA framework for calculating CVA capital requirements, specified as an sacva object.

Output Arguments

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SA-CVA capital requirement results, returned as an sacva.CapitalResults object. For information about the properties of this object, see sacva.CapitalResults Properties.

Version History

Introduced in R2026b

See Also

Objects

Properties

Topics

External Websites