Foundations of the standardised approach for measuring counterparty credit risk exposures.
The Committee prepared this technical paper to explain the different modelling assumptions that were used in developing the standardised approach for measuring counterparty credit risk exposures (SA-CCR). Thefinal standard was published in March 2014 (revised April 2014).
A revised version of this paper was published in June 2017 to correct the numbering of equations featured in the paper.
- Publication Date: August 2014
- Publication Type: Working Papers
- Publication Status: Current
- Publication Category: Banking Problems
- Number of Pages: 24
- Keywords: Credit Risk
For definitive information on regulatory matters always consult primary sources, especially where it concerns legally binding rules and regulations.
The above regulatory document abstract is quoted verbatim in this Open Risk Manual entry and provided free of charge for the convenience of all internet users. There is no explicit or implicit endorsement of this web service by the Bank of International Settlements. The copyright of the included material rests with the original authors (Links to the original texts are duly provided).