Download This PaperRevising SA-CCR
20 Pages Posted: 25 Feb 2019 Last revised: 10 Apr 2019
Date Written: April 8, 2019
Abstract
We propose revising SA-CCR to RSA-CCR by making SA-CCR self-consistent and appropriately risk-sensitive by cashflow decomposition in a 3-Factor Gaussian Market Model.
The technical appendix to this paper can be found at: https://ssrn.com/abstract=3329545.
Accepted for publication in Risk in this form, but will appear in shortened form due to page limitations.
Keywords: Regulation, Capital, SA-CCR, Counterparty Credit Risk, Hull-White, Gaussian Market Model
JEL Classification: G10, G12, G13, G18, G38, K23, C54, C52
Suggested Citation: Suggested Citation
Berrahoui, Mourad and Islah, Othmane and Kenyon, Chris, Revising SA-CCR (April 8, 2019). Available at SSRN: https://ssrn.com/abstract=3329538 or http://dx.doi.org/10.2139/ssrn.3329538
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