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

Abstract

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

Suggested Citation

Karyampas, Dimitris and Anfuso, Fabrizio, The SA-CCR for Counterparty Credit Risk Exposure - An Analysis from Risk and Pricing Perspectives (May 2, 2014). Risk, June 2015, Available at SSRN: https://ssrn.com/abstract=2432145 or http://dx.doi.org/10.2139/ssrn.2432145

Dimitris Karyampas

Bocconi University ( email )

Via Sarfatti, 25
Milan, MI 20136
Italy

Fabrizio Anfuso (Contact Author)

PRA, Bank Of England ( email )

20 Moorgate
London, EC2R 6DA
United Kingdom

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