Basel III Standardized Approach for Counterparty Credit Risk Management
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Updated
Jul 5, 2021 - R
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sa-ccr
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Excel-based quantitative finance models: Brownian motion simulation, Vasicek short-rate Monte Carlo, and a full Basel SA-CCR counterparty exposure engine.
excel monte-carlo quantitative-finance risk-management brownian-motion counterparty-credit-risk vasicek-model sa-ccr basel-iii interest-rate-models
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Updated
Aug 31, 2026
A simplified Python implementation of SA-CCR, Monte Carlo exposure simulation, collateral, CVA, and wrong-way risk.
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Updated
Aug 20, 2026 - Python
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