Foundations of the SA for Measuring Counterparty Credit Risk Exposures

This technical paper explains modelling assumptions that were used in developing the standardised approach for measuring counterparty credit risk exposures (SA-CCR). The paper also clarifies certain aspects of the SA-CCR calibration that are not discussed in the final standard that was published in March 2014 (revised April 2014).1 The language used to describe the SA-CCR in this paper may differ somewhat from the language used in the final standard. For example, the paper uses concepts that are not present in the final standard such as trade-level add-ons and single-factor subsets of hedging sets. Furthermore, it does not use the concept of effective notional, which is employed in the standard. The purpose of these adaptations is to emphasise the common aggregation framework that underpins the SA-CCR add-on formulas for different asset classes.
(Texto en inglés)