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CVA and IRC

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Learner
Posts: 1

CVA and IRC

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

 

 

 

SAS Employee
Posts: 7

Re: CVA and IRC

Hi Sidharth,

 

My apologies for the delayed response.

 

Are you still looking for an answer to your question?

 

Thank you.

 

-Jodi

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