Standardized Approach - Counterparty Credit Risk (SA-CCR)
This is a MATLAB example for calculating EAD based on example 1 in the annex 4a of BCBS 279
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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 (2026). Standardized Approach - Counterparty Credit Risk (SA-CCR) (https://au.mathworks.com/matlabcentral/fileexchange/70287-standardized-approach-counterparty-credit-risk-sa-ccr), MATLAB Central File Exchange. Retrieved .
General Information
- Version 1.0.0 (10.9 KB)
MATLAB Release Compatibility
- Compatible with R2018b and later releases
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0 |
