Package: SACCR
Type: Package
Title: SA Counterparty Credit Risk under CRR2
Version: 3.4
Date: 2026-01-17
Author: Tasos Grivas [aut, cre]
Authors@R: person(given = "Tasos", 
  family = "Grivas", 
  role = c("aut", "cre"), 
  email = "info@openriskcalculator.com")
Maintainer: Tasos Grivas <info@openriskcalculator.com>
Description: Computes the Exposure-At-Default based on the standardized
        approach of CRR2 (SA-CCR). The simplified version of SA-CCR has
        been included, as well as the OEM methodology. Multiple trade
        types of all the five major asset classes are being supported
        including the Other Exposure and, given the inheritance- based
        structure of the application, the addition of further trade
        types is straightforward. The application returns a list of
        trees per Counterparty and CSA after automatically separating
        the trades based on the Counterparty, the CSAs, the hedging
        sets, the netting sets and the risk factors. The basis and
        volatility transactions are also identified and treated in
        specific hedging sets whereby the corresponding penalty factors
        are applied. All the examples appearing on the regulatory
        papers (both for the margined and the unmargined workflow) have
        been implemented including the latest CRR2 developments.
License: GPL-3
Imports: methods, data.tree, jsonlite, Trading
URL: https://openriskcalculator.com/
Collate: 'CalcAddon.R' 'CalcEAD.R' 'CalcPFE.R' 'CalcRC.R'
        'ExampleBasisVol.R' 'ExampleComm.R' 'ExampleCredit.R'
        'ExampleFX.R' 'ExampleIRD.R' 'ExampleIRDCommMargined.R'
        'ExampleIRDCredit.R' 'HandleBasisVol.R' 'LoadSupervisoryData.R'
        'runExampleCalcs.R' 'CalculateFactorMult.R'
        'CreateTradeGraph.R' 'GroupCommTrades.R' 'GroupCreditTrades.R'
        'GroupEquityTrades.R' 'GroupFXTrades.R' 'GroupIRDTrades.R'
        'GroupTrades.R' 'SACCRCalculator.R' 'SingleTradeAddon.R'
        'onLoad.R' 'DetermineCCRMethodology.R' 'GroupOtherTrades.R'
        'ExampleFXHedge.R'
NeedsCompilation: no
RoxygenNote: 7.3.2
Packaged: 2026-10-16 07:12:50 UTC; root
Config/pak/sysreqs: libgmp3-dev libicu-dev libpng-dev python3
Repository: https://sa-ccr.r-universe.dev
Date/Publication: 2026-01-19 06:51:00 UTC
RemoteUrl: https://github.com/cran/SACCR
RemoteRef: HEAD
RemoteSha: 5bb9de67d2c353cda095d8e4681d0023e630defd
