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David Kelly, Director of Financial Engineering, Calypso Technology explores the new standardized approach for counterparty credit risk.

A central goal of the Basel Committee in releasing the new Standardized Approach for Measuring Counterparty Credit Risk (SA-CCR) in March 2014 was to ‘improve the risk sensitivity of the capital framework without creating undue complexity’. The previous standardized approaches were roundly criticized for not sufficiently reflecting the economics of unique portfolios, especially with regard to volatility, and therefore not providing institutions with a true non- internal model alternative for calculating counterparty credit risk.


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