CVA and IRC

sidvai — Mon, 04 Apr 2016 12:25:49 GMT

Hi,

We are working on Internal Model Approch implementation for Market Risk using SAS RMFB 3.2

Would like to know if there are any built in feature or function to calculate Credit Valuation Adjustment (CVA) Incremental Risk Charge (IRC).

Thanks

Sidharth

Re: CVA and IRC

SASJodi — Tue, 26 Jul 2016 15:27:37 GMT

Hi Sidharth,

My apologies for the delayed response.

Are you still looking for an answer to your question?

Thank you.

-Jodi