Main Content

aggregateByCounterparty

Aggregate exposures at default (EADs) by counterparty

Since R2024a

collapse all in page

Syntax

CounterpartyEADTable = aggregateByCounterparty(EADResultsObject)

Description

CounterpartyEADTable = aggregateByCounterparty(EADResultsObject) aggregates exposures at default (EADs) by counterparty using the EADResults object.

example

Examples

collapse all

Open Live Script

Use the aggregateByCounterparty function to aggregate exposures at default (EADs) by counterparty in a saccr object.

Define the foreign exchange (FX) spot currency exchange rate table.

Base = ["EUR";"GBP";"GBP"];
Quote = ["USD";"USD";"EUR"];
SpotRate = [1.0543;1.2195;1.1567];
FXSpotTable = table(Base,Quote,SpotRate)
FXSpotTable=3×3 table
    Base     Quote    SpotRate
    _____    _____    ________

    "EUR"    "USD"     1.0543 
    "GBP"    "USD"     1.2195 
    "GBP"    "EUR"     1.1567

Create the saccr object.

SACCRCRIF = "SACCR_CRIF_Ports_7_8_9.csv";
mySACCR = saccr(SACCRCRIF)
mySACCR = 
  saccr with properties:

                         CRIF: [42x19 table]
                NumPortfolios: 3
                 PortfolioIDs: [3x1 string]
              CounterpartyIDs: [3x1 string]
                   Portfolios: [3x1 saccr.Portfolio]
                   Regulation: "Basel_CRE52"
             DomesticCurrency: "USD"
                        Alpha: [3x1 double]
                  FXSpotRates: [0x0 table]
          TradeDecompositions: [5x2 table]
           CollateralHaircuts: [200x6 table]
        SupervisoryParameters: [19x7 table]
    MaturityBusinessDaysFloor: 10
          NumBusinessDaysYear: 250

You can then use the addOn and ead functions with the saccr object.

outAddOnResults = addOn(mySACCR)
outAddOnResults = 
  AddOnResults with properties:

                        NumPortfolios: 3
                         PortfolioIDs: [3x1 string]
                      CounterpartyIDs: [3x1 string]
                           Regulation: "Basel_CRE52"
                     DomesticCurrency: "USD"
       AddOnAggregateUncollateralized: [3x1 double]
         AddOnAggregateCollateralized: [3x1 double]
    AddOnAssetClassesUncollateralized: [1x1 saccr.AddOnAssetClassResults]
      AddOnAssetClassesCollateralized: [1x1 saccr.AddOnAssetClassResults]


outEADResults = ead(mySACCR)
outEADResults = 
  EADResults with properties:

       NumPortfolios: 3
        PortfolioIDs: [3x1 string]
     CounterpartyIDs: [3x1 string]
          Regulation: "Basel_CRE52"
    DomesticCurrency: "USD"
                 EAD: [3x1 double]
               Alpha: [3x1 double]
                  RC: [3x1 double]
                 PFE: [3x1 double]
          Multiplier: [3x1 double]
      AddOnAggregate: [3x1 double]
           RCResults: [1x1 saccr.RCResults]
          PFEResults: [1x1 saccr.PFEResults]
        ResultsTable: [3x17 table]

Use aggregateByCounterParty to aggregate exposures at default (EADs) by counterparty in a saccr object.

CounterPartyEADTable = aggregateByCounterparty(outEADResults)
CounterPartyEADTable=2×2 table
    CounterpartyID    CounterpartyEAD
    ______________    _______________

      ""                2.7348e+06   
      "Exchange"        3.1006e+05

Input Arguments

collapse all

EAD results object, specified as an EADResults object. You create an EADResults object using ead.

Data Types: object

Output Arguments

collapse all

EAD aggregated by counterparty, returned as a table containing the following columns:

  • CounterpartyID — Counterparty ID

  • CounterpartyEAD — EAD aggregated for each counterparty

.

More About

collapse all

Aggregate by Counterparty

The aggregate by counterparty computation is the sum of the EADs for all exposure values for a single counterparty.

Aggregate by counterparty is a key measure of counterparty credit risk. It provides an estimate of the maximum potential loss that a bank or financial institution could suffer if a specific counterparty were to default. This computation is a critical input for risk management and capital adequacy calculations.

References

[1] Bank for International Settlements. "CRE52 - Standardised Approach to Counterparty Credit Risk." June 2020. Available at: https://www.bis.org/basel_framework/chapter/CRE/52.htm.

[2] Bank for International Settlements. "CRE22 - Standardised Approach: Credit Risk Migration." November 2020. Available at: https://www.bis.org/basel_framework/chapter/CRE/22.htm.

[3] Bank for International Settlements. "Basel Committee on Banking Supervision: The Standardised Approach for Measuring Counterparty Credit Risk Exposures." April 2014. Available at: https://www.bis.org/publ/bcbs279.pdf.

Version History

Introduced in R2024a

See Also

| | | | | | | |

Topics