The SA-CCR for Counterparty Credit Risk Exposure - An Analysis from Risk and Pricing Perspectives
Risk, June 2015
13 Pages Posted: 3 May 2014 Last revised: 30 Aug 2017
Date Written: May 2, 2014
The Basel Committee for Banking Supervision (BCBS) has recently introduced the new standardised approach for measuring counterparty credit risk exposure (SA-CCR). The method will replace both the Current Exposure Method (CEM) and the Standardised Method (SM) in the capital adequacy framework. Dimitrios Karyampas and Fabrizio Anfuso highlight the pros and cons of the new approach through real life examples.
Keywords: SA-CCR, OTC, IMM, Capital, Counterparty Credit Risk, Initial Margin
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