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White Paper - Introducing the Standardized Approach to Counterparty Credit Risk

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Calypso financial engineers, Rubin Rajendram, Mike deVegvar and Pardha Viswanadha provide an overview of BCBS 279, also known as the “Standardized Approach to Counterparty Credit Risk (SA-CCR)”

The Standardized Approach to Counterparty Credit Risk, introduced by Basel in April 2014, replaces both the Current Exposure Method (CEM) and the Standardized Method (SM). The IMM shortcut method will be eliminated once SA-CCR takes effect, which is scheduled for January 1, 2017. In the Basel June 2013 proposal, SA-CCR was referred to as the Non-Internal Model Method (NIMM).

 

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