From Open Risk Manual


BCBS WP26 is a document published by the Basel Committee on Banking Supervision on August 2014 in the Banking Problems category.


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.

Document Profile

  • Publication Date: August 2014
  • Publication Type: Working Papers
  • Publication Status: Current
  • Publication Category: Banking Problems
  • Number of Pages: 24
  • Keywords: Credit Risk

See Also


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