Standardized Approach - Counterparty Credit Risk (SA-CCR)

This is a MATLAB example for calculating EAD based on example 1 in the annex 4a of BCBS 279

Version 1.0.0 (11.3 KB)
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14 Feb 2019
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Cite As

MathWorks Quant Team (2026). Standardized Approach - Counterparty Credit Risk (SA-CCR) (https://ch.mathworks.com/matlabcentral/fileexchange/70287-standardized-approach-counterparty-credit-risk-sa-ccr), MATLAB Central File Exchange. Retrieved .

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General Information

MATLAB Release Compatibility

  • Compatible with R2018b and later releases

Platform Compatibility

  • Windows
  • macOS
  • Linux
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Version Published Release Notes
1.0.0

Download

  • Install in MATLAB

    Requires R2026b and later. Learn more