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

Publisher

PWC

Year

2016

Language

English

File Size

240 KB

File Format

PDF

Abstract

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.