The SA-CCR for Counterparty Credit Risk Exposure - An Analysis from Risk and Pricing Perspectives

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

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Year of publication:	2017
Authors:	Karyampas, Dimitris
Other Persons:	Anfuso, Fabrizio (contributor)
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Kreditrisiko \| Credit risk \| Risikomanagement \| Risk management

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Extent:	1 Online-Ressource (13 p)
Series:	Risk, June 2015
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 2, 2014 erstellt
Other identifiers:	10.2139/ssrn.2432145 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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