bacva.CapitalResults Properties

R2026b

bacva.CapitalResults object properties

Since R2026b

A bacva.CapitalResults object contains the BA-CVA (Basic Approach for Credit Valuation Adjustment) capital requirements and component values for each portfolio in a bacva object.

Create a bacva.CapitalResults object by calling the capital object function of a bacva object. You can also create a bacva.CapitalResults object directly using the bacva.CapitalResults function.

Properties

NumPortfolios — Number of portfolios

Read-only: nonnegative integer

This property is read-only.

Number of portfolios, represented as a nonnegative integer.

Data Types: double

PortfolioIDs — Portfolio IDs

Read-only: NumPortfolios-by-1 string vector

This property is read-only.

Portfolio IDs, specified as a NumPortfolios-by-1 string vector.

Regulation — Indicator of Basel regulation

Read-only: "Basel_MAR50"

This property is read-only.

Indicator of Basel regulation, represented as "Basel_MAR50".

DomesticCurrency — ISO currency code for domestic currency

Read-only: string

This property is read-only.

ISO currency code for the domestic currency, represented as a string.

Model — BA-CVA model type

Read-only: "Full" | "Reduced"

This property is read-only.

BA-CVA model type, represented as "Full" or "Reduced".

• "Full" — The BA-CVA full model recognizes eligible CVA hedges (single-name CDS (credit default swaps), single-name contingent CDS, and index CDS). The software computes capital as a weighted combination of nonhedged and hedged capital using the Beta property.

• "Reduced" — The BA-CVA reduced model does not recognize hedges. The software computes capital based solely on nonhedged capital.

Beta — Weight of nonhedged capital in full capital

Read-only: numeric value in the range [0,1]

This property is read-only.

Weight of the nonhedged capital (Kreduced) in full capital, represented as a numeric value in the range [0,1]. The weight of the hedged capital (Khedged) is 1 − Beta. The full capital (Kfull) is Kfull = BetaKreduced + (1 − Beta)Khedged.

Data Types: double

CounterpartyRho — BA-CVA counterparty rho correlation

Read-only: numeric value in the range [0,1]

This property is read-only.

BA-CVA counterparty rho correlation, represented as a numeric value in the range [0,1].

Data Types: double

DiscountScalar — BA-CVA discount scalar

Read-only: nonnegative numeric value

This property is read-only.

BA-CVA discount scalar, represented as a nonnegative numeric value.

• If Model is "Full", then the full BA-CVA capital is DiscountScalarKfull.

• If Model is "Reduced", then the full BA-CVA capital is DiscountScalarKreduced.

Data Types: double

EADModel — Exposure at default model

Read-only: "SA-CCR" | "IMM"

This property is read-only.

Exposure at default model, represented as "SA-CCR" or "IMM".

Kreduced — Kreduced capital values

Read-only: NumPortfolios-by-1 numeric vector

This property is read-only.

Kreduced capital values, represented as a NumPortfolios-by-1 numeric vector.

Data Types: double

Khedged — Khedged capital values

Read-only: NumPortfolios-by-1 numeric vector

This property is read-only.

Khedged capital values, represented as a NumPortfolios-by-1 numeric vector.

Data Types: double

Kfull — Kfull capital values

Read-only: NumPortfolios-by-1 numeric vector

This property is read-only.

Kfull capital values, represented as a NumPortfolios-by-1 numeric vector.

Data Types: double

BACVACapital — Total BA-CVA capital

Read-only: NumPortfolios-by-1 numeric vector

This property is read-only.

Total BA-CVA capital, represented as a NumPortfolios-by-1 numeric vector.

Data Types: double

SensitivityResultsTable — Per-sensitivity capital breakdown

Read-only: table

This property is read-only.

Per-sensitivity capital breakdown, represented as a table. The table contains the following nine columns:

• PortfolioID

• CounterpartyID

• RiskType

• SensitivityID

• StandaloneCVA

• SingleNameHedge

• IndexHedge

• HedgeMisalignment

• HedgeCorrelation

CounterpartyResultsTable — Per-counterparty capital breakdown

Read-only: table

This property is read-only.

Per-counterparty capital breakdown, represented as a table. The table contains the following seven columns:

• PortfolioID

• CounterpartyID

• CounterpartyRho

• StandaloneCVA

• SingleNameHedge

• IndexHedge

• HedgeMisalignment

ResultsTable — Summary results table

Read-only: NumPortfolios-by-14 table

This property is read-only.

Summary results table, represented as a NumPortfolios-by-14 table. The table contains the following 14 columns:

• PortfolioIDs

• NumSensitivities

• NumCounterparties

• Regulation

• DomesticCurrency

• Model

• Beta

• CounterpartyRho

• DiscountScalar

• EADModel

• Kreduced

• Khedged

• Kfull

• BACVACapital

Version History

Introduced in R2026b