[R-SIG-Finance] Counterparty Credit Risk and CVA

[Hans Radtke]

Rafael,

To my knowledge, there aren't any packages available dealing with Expected Exposure and CVA.

The challenge, I guess, is threefold: You need...
1) a long-term simulation framework for market risk drivers
2) pricing models for derivatives
3) some netting logic

As far as I know, (1) and (3) are not available, and coverage of (2) is patchy.

There is also the small issue that you're typically looking at something in the region of 5.000 sims x 40 timesteps (with path dependency) = 200k repricings of your portfolio for this exercise - which is why these applications tend to run on server farms or GPU technology.

However... if I'm wrong, please let me know. I could use this as well :)


Mit besten Grüßen / With kind regards
Hans Radtke