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White Paper - Regulators Meet Markets

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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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Calypso Technology, Inc. is a cloud-enabled provider of cross-asset front-to-back solutions and managed services for financial markets with over 35,000 users in 60+ countries. Its award-winning software improves reliability, adaptability, and scalability across several verticals, including capital markets, investment management, central banking, clearing, treasury, liquidity, and collateral.

Calypso is pioneering innovative technologies (native cloud technology, AI, Big data) that reimagine capital markets.


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