Revising SA-CCR

20 Pages Posted: 25 Feb 2019 Last revised: 10 Apr 2019

See all articles by Mourad Berrahoui

Mourad Berrahoui

Lloyds Banking Group

Othmane Islah

Lloyds Banking Group; Quantuply Ltd

Chris Kenyon

MUFG Securities EMEA plc

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

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

Mourad Berrahoui

Lloyds Banking Group ( email )

10 Gresham Street
London, EC2V 7AE
United Kingdom

Othmane Islah

Lloyds Banking Group ( email )

10 Gresham Street
London, EC2V 7AE
United Kingdom

Quantuply Ltd ( email )

London
United Kingdom

Chris Kenyon (Contact Author)

MUFG Securities EMEA plc ( email )

25 Ropemaker St
London, EC2Y 9AJ
United Kingdom

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