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.
MathWorks Quant Team (2020). Standardized Approach - Counterparty Credit Risk (SA-CCR) (https://www.mathworks.com/matlabcentral/fileexchange/70287-standardized-approach-counterparty-credit-risk-sa-ccr), MATLAB Central File Exchange. Retrieved .
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