Standardized approach (counterparty credit risk)

Not to be confused with Standardized approach (credit risk).
Basel Framework
International regulatory standards for banks
Background
Pillar 1: Regulatory capital
Pillar 2: Supervisory review
Pillar 3: Market disclosure
Business and Economics Portal

The standardized approach for counterparty credit risk (SA-CCR) is the capital requirement framework under Basel III addressing counterparty risk for derivative trades. [1] It was published by the Basel Committee in March 2014. [2] See Basel III: Finalising post-crisis reforms.

The framework replaced both non-internal model approaches: the Current Exposure Method (CEM) and the Standardised Method (SM). It is intended to be a "risk-sensitive methodology", i.e. conscious of asset class and hedging, that differentiates between margined and non-margined trades and recognizes netting benefits; considerations insufficiently addressed under the preceding frameworks.

SA-CCR calculates the exposure at default, EAD, of derivatives and "long-settlement transactions" exposed to counterparty credit risk, where EAD = α × (RC + PFE). Here, α is a "multiplier" of 1.4, acting as a buffer to ensure sufficient coverage; and:

  • RC is the "Replacement Cost" were the counterparty to default today: the current exposure, i.e. mark-to-market of all trades, is aggregated by counterparty, and then netted-off with haircutted- collateral.
  • PFE is the "Potential Future Exposure" to the counterparty: per asset class, trade-"add-ons" are aggregated to "hedging sets", with positions allowed to offset based on specified correlation assumptions, thereby reducing net exposure; these are in turn aggregated to counterparty "netting sets"; this aggregated amount is then offset by the counterparty's collateral (i.e. initial margin), which is subject to a "multiplier" that limits its benefit, applying a 5% floor to the exposure.

The SA-CCR EAD is an input to the bank's regulatory capital calculation where it is combined with the counterparty's PD and LGD to derive RWA; Some banks thus incorporate SA-CCR into their KVA calculations. Because of its two-step aggregation, capital allocation between trading desks (or even asset classes) is challenging; thus making it difficult to fairly calculate each desk's risk-adjusted return on capital. Various methods are then proposed here.[3] SA-CCR is also input to other regulatory results such as the leverage ratio and the net stable funding ratio.

References

  1. ^ Basel Committee on Banking Supervision (2018). "Counterparty credit risk in Basel III - Executive Summary". www.bis.org
  2. ^ Basel Committee on Banking Supervision (2014-03-31). "The standardised approach for measuring counterparty credit risk exposures (BCBS 279)". www.bis.org. Retrieved 3 May 2018.
  3. ^ FIS (2017). "Allocating SA-CCR fairly", www.fisglobal.com.

Read other articles:

Gedung Pengadilan Banding Terakhir

Court of Final Appeal Building終審法院大樓Tampak gedung dari depan Jalan ChaterNama sebelumnyaSupreme Court BuildingLegislative Council BuildingInformasi umumJenisCourt buildingGaya arsitekturNeo-classicalLokasiHong KongAlamat8 Jackson Road, CentralKoordinat22°16′52″N 114°09′36″E / 22.280996°N 114.160116°E / 22.280996; 114.160116Rampung1912Dibuka2015 (current use)Tanggal renovasi2013-2015PemilikJudiciary of Hong KongDesain dan konstruksiArsitekSir Ast...

 

Grover Cleveland

Grover Cleveland Presiden Amerika Serikat 22 dan 24Masa jabatan4 Maret 1893 – 4 Maret 1897Wakil PresidenAdlai E. Stevenson (1893-1897) PendahuluBenjamin HarrisonPenggantiWilliam McKinleyMasa jabatan4 Maret 1885 – 4 Maret 1889Wakil PresidenThomas A. Hendricks (1885, meninggal saat menjabat),Tidak ada (1885–1889) PendahuluChester A. ArthurPenggantiBenjamin HarrisonGubernur New York 28Masa jabatan1 Januari 1883 – 6 Januari 1885WakilDavid B. Hill Pendahu...

 

Ha Yoon-kyung

Ha Yoon-kyungHa pada tahun 2022Lahir20 Oktober 1992 (umur 31)Korea SelatanPekerjaanPemeranTahun aktif2015–sekarangAgenHODU&U Entertainment Nama KoreaHangul하윤경 Alih AksaraHa Yun-gyeongMcCune–ReischauerHa Yun-kyŏng Ha Yoon-kyung (lahir 1992) adalah pemeran Korea Selatan. Ia paling dikenal untuk penampilannya dalam seri televisi Hospital Playlist (2020–2021) dan Extraordinary Attorney Woo (2022). Filmografi Film Tahun Judul Peran Notes Ref. 2015 Socialphobia Ha-young/...

Bartlett High School (Illinois)

This article needs additional citations for verification. Please help improve this article by adding citations to reliable sources. Unsourced material may be challenged and removed.Find sources: Bartlett High School Illinois – news · newspapers · books · scholar · JSTOR (December 2018) (Learn how and when to remove this template message) Public secondary school in Bartlett, Illinois, United StatesBartlett High SchoolAddress701 Schick RoadBartlett,...

 

Kesenian Timuriyah

Figur-figur manusia sedang minum minuman anggur ini dipengaruhi oleh kebudayaan Cina Kesenian Timuriyah adalah jenis kesenian yang berkembang pada masa pemerintahan Kekaisaran Timuriyah (1370-1507). Kesenian Timuriyah dikenal karena penggunaan gaya Persia dan Cina, dan juga dipengaruhi oleh pengaruh peradaban lain di Asia Barat dan Asia Tengah.[1] Setelah kemunduran Kerajaan Timuriyah, seni peradaban Timuriyah masih terus mempengaruhi budaya-budaya lain di Asia Barat dan Tengah.[1...

 

Immanuel Jakobovits, Baron Jakobovits

Rabbi The Right Honourable The Lord JakobovitsKepala Rabbi Kongregasi Ibrani Bersatu PersemakmuranJakobovits pada 1969PosisiKepala RabbiOrganisasiKongregasi Ibrani Bersatu PersemakmuranMulai1966Berakhir1991PendahuluSir Israel BrodiePenggantiThe Lord SacksLain-lainKepala Rabbi IrlandiaPenjelasan pribadiNama lahirImmanuel JakobovitsLahirTanggal tidak terbaca. Angka tahun harus memiliki 4 digit (gunakan awalan nol untuk tahun < 1000).Königsberg, Prusia Timur, JermanWafat31 October 1999&...

Ivrée

Ivrée Armoiries Ivrée, vue du vieux pont sur la Doire Baltée Nom francoprovençal Ivrèya Nom alémanique Eebri (töitschu)[1] Nom piémontais Ivrèja Administration Pays Italie Région Piémont  Ville métropolitaine Turin  Code postal 10015 Code ISTAT 001125 Code cadastral E379 Préfixe tel. 0125 Démographie Gentilé eporediesi Population 24 196 hab. (31-12-2010[2]) Densité 801 hab./km2 Géographie Coordonnées 45° 28′ 00″ nord, 7° 53...

 

Nirmal Jit Singh Sekhon

Recipient of Param Vir Chakra Flying OfficerNirmal Jit Singh SekhonPVCBorn(1945-07-17)17 July 1945Ludhiana, Punjab, British India[1](now in Punjab, India)Died14 December 1971(1971-12-14) (aged 26)Srinagar, Jammu and Kashmir, IndiaAllegiance Republic of IndiaService/branch Indian Air ForceYears of service1967–1971Rank Flying OfficerUnitNo. 18 SquadronBattles/warsIndo-Pakistani War of 1971Awards Param Vir Chakra (posthumous) Flying Officer Nirmal Jit Singh Sekhon, PVC (...

 

QIX (hydrologie)

Caisse de mesure Michelot, un modèle ancien de compteur d'eau, permettant de mesurer le débit d'eau Le QIX, ou « quantité instantanée maximale », est la valeur du débit instantané maximal d'un cours d'eau sur une période donnée[1]. Types de calculs Calculé pour différentes durées (2 ans, 5 ans, etc.), il permet d'apprécier statistiquement les risques rattachés à l'écoulement de l'eau en surface. Le QIX est estimé en ayant recours à une loi statistique de Gumb...

Adam Raphael

Adam Eliot Geoffrey Raphael (born 22 April 1938) is an English journalist and author. In the British Press Awards of 1973, he was named Journalist of the Year for his work on labour conditions in South Africa, and he has also been a presenter of BBC Television's Newsnight. Since 2004, he has edited The Good Hotel Guide. He is not to be confused with a BBC producer of the same name, Adam Jocelyn Raphael (1937–1999).[1] Early life Charterhouse School The son of Geoffrey George Raphae...

 

Perombakan

Sebuah rumah yang dilakukan Perombakan atau Renovasi Perombakan atau renovasi adalah pembangunan ulang atau perbaikan, biasanya sebuah situs yang memiliki makna historis. Pembangunan ulang sebuah kerajaan juga disebut dengan istilah renovasi, misalkan untuk memutar balik perubahan yang dilaksanakan karena sebuah revolusi. Artikel bertopik bangunan dan struktur ini adalah sebuah rintisan. Anda dapat membantu Wikipedia dengan mengembangkannya.lbs

 

Serian (federal constituency)

Federal constituency of Sarawak, Malaysia Serian (P199) Sarawak constituencyFederal constituencyLegislatureDewan RakyatMPRichard Riot JaemGPSConstituency created1968First contested1969Last contested2022DemographicsPopulation (2020)[1]61,744Electors (2022)[2]65,273Area (km²)1,463Pop. density (per km²)42.2 Serian is a federal constituency in Serian Division (Siburan District, Tebedu District and Serian District), Sarawak, Malaysia, that has been represented in the Dewan Rakyat...

Taksim (politique)

Pour les articles homonymes, voir Taksim. Manifestation chypriote turque, à Londres. Le Taksim (en turc : « division ») est un mouvement nationaliste et sécessionniste turc prônant l'indépendance et la reconnaissance de la République turque de Chypre du Nord dans le cadre d'une solution à deux États. C'est l'idéologie principale des partisans de l'invasion de 1974, et le concept a été attribué en 1957 par le vice-président Fazıl Küçük[1]. Graffiti « TAK...

 

أبو سعيد الخادمي

أبو سعيد الخادمي معلومات شخصية الميلاد سنة 1701   قونية  الوفاة سنة 1762 (60–61 سنة)  قونية  مواطنة الدولة العثمانية  الحياة العملية المهنة فقيه  مجال العمل الفقه الإسلامي،  وأصول الفقه  تعديل مصدري - تعديل   الصفحة الاولى من مخطوط «خزائن الجواهر ومخازن ا�...

 

Crumpet

Small unsweetened griddle bread This article is about the bread. For the French animated television series, see The Crumpets. For the slang term, see Thinking man's/woman's crumpet. CrumpetA buttered crumpetTypeBreadPlace of originUnited KingdomRegion or stateUnited Kingdom and the Commonwealth of nationsMain ingredientsFlour, yeast Cookbook: Crumpet  Media: Crumpet A crumpet (/ˈkrʌmpɪt/ ⓘ) is a small griddle bread made from an unsweetened batter of water or milk, flour, and...

Kementerian Haji dan Umrah Arab Saudi

Kementerian Haji dan Umrahوزارة الحج والعمرةInformasi KementerianDibentuk1945; 79 tahun lalu (1945)Wilayah hukumPemerintah Arab SaudiKantor pusatMakkah, Arab SaudiSitus webwww.haj.gov.sa Logo lama Kementerian Haji dan Umrah Arab Saudi Kementerian Haji dan Umrah Arab Saudi (bahasa Arab: وزارة الحج والعمرة السعودية Wuzarah al-Hajj wa al-'Umrah as-Su'udiyyah) adalah sebuah kementerian dalam Pemerintah Arab Saudi yang bertanggung jawab terhadap uru...

 

De-extinction

Process of re-creating an extinct species The Pyrenean ibex, also known as the bouquetin, is the only animal to have survived de-extinction past birth. De-extinction (also known as resurrection biology, or species revivalism) is the process of generating an organism that either resembles or is an extinct species.[1] There are several ways to carry out the process of de-extinction. Cloning is the most widely proposed method, although genome editing and selective breeding have also been...

 

Tartarughe Ninja alla riscossa (film)

Tartarughe Ninja alla riscossaLe Tartarughe Ninja e il Maestro Splinter in una scena del filmTitolo originaleTeenage Mutant Ninja Turtles Paese di produzioneStati Uniti d'America Anno1990 Durata93 min Rapporto1,85:1 Genereazione, commedia, fantastico, avventura, drammatico RegiaSteve Barron SoggettoBobby Herbeck (personaggi creati da Kevin Eastman & Peter Laird) SceneggiaturaTodd W. Langen, Bobby Herbeck ProduttoreDavid Chan, Kim Dawson, Simon Fields Produttore esecutivoRa...

CTV (Kanada)

CTV Fernsehsender (Privatrechtlich) Programmtyp Vollprogramm Empfang Satellit, Kabel, DVB-T, DVB-S, DVB-C Sendestart 1. Okt. 1961 Eigentümer Bell Globemedia (früher: CTV Television Inc.) Geschäftsführer John Raisman (Präsident) Rick Brace Liste der Listen von Fernsehsendern Website CTV Television Network ist der größte englischsprachige private Fernsehsender Kanadas. Die Abkürzung „CTV“ hat keine offizielle Bedeutung, viele Kanadier interpretieren das jedoch als „Canadian ...

 

Grand Prix automobile de Monaco

Grand Prix de Monaco  Circuit de Monaco Données de course Nombre de tours 78 Longueur du circuit 3,337 km Distance de course 260,286 km Résultats Vainqueur 2024 Charles Leclerc,Ferrari,2 h 23 min 15 s 554(vitesse moyenne : 109,096 km/h) Pole position 2024 Charles Leclerc,Ferrari,1 min 10 s 270(vitesse moyenne : 170,142 km/h) Record du tour en course 2024 Lewis Hamilton,Mercedes,1 min 14 s...