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Basel IV: Calculating EAD according to the new standardizes approach for counterparty credit risk (SA-CCR)
Herausgeber: PwC
Sprache: Englisch
Erscheinung: August 2016

Basel IV: Calculating EAD according to the new standardizes approach for counterparty credit risk (SA-CCR)

In 2014, the Basel Committee published its final paper on the new standardized approach for calculating the EAD of counterparty credit risk exposures (SA-CCR). The SA-CCR will replace the current exposure method (CEM) and standardized method (SM) and will be used not only for the calculation of risk weighted assets but also within the leverage ratio, large exposure framework and possibly the net stable funding ratio.