581:
399:
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
467:
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.
183:
393:
348:
88:
616:
266:
232:
83:
48:
1063:
227:
178:
28:
931:
504:
1289:
1210:
1013:
341:
324:
271:
1284:
609:
896:
788:
239:
960:
1048:
629:
452:
906:
871:
516:
381:
364:
334:
261:
215:
78:
73:
876:
1215:
936:
921:
863:
602:
911:
480:
151:
1253:
1155:
1128:
1113:
881:
736:
657:
412:
1279:
1258:
1190:
1180:
1135:
1068:
901:
652:
445:
423:
1248:
1205:
716:
488:
471:), which is subject to a "multiplier" that limits its benefit, applying a 5% floor to the exposure.
419:
373:
200:
146:
503:(or even asset classes) is challenging; thus making it difficult to fairly calculate each desk's
1225:
1220:
1200:
1088:
891:
849:
746:
672:
484:
476:
385:
436:
RC is the "Replacement Cost" were the counterparty to default today: the current exposure, i.e.
594:
1103:
1093:
1083:
1038:
1033:
987:
983:
956:
886:
803:
677:
667:
441:
1140:
1058:
1008:
991:
916:
780:
765:
408:
289:
256:
432:. Here, α is a "multiplier" of 1.4, acting as a buffer to ensure sufficient coverage; and:
1175:
1150:
1108:
1098:
1073:
1053:
1043:
756:
720:
662:
404:
130:
117:
112:
1123:
979:
975:
966:
834:
813:
761:
751:
741:
731:
700:
682:
625:
554:"The standardised approach for measuring counterparty credit risk exposures (BCBS 279)"
468:
437:
294:
188:
166:
161:
17:
463:
are aggregated to "hedging sets", with positions allowed to offset based on specified
1273:
1230:
1118:
1028:
1018:
971:
951:
844:
793:
577:
536:
53:
1185:
1170:
946:
808:
769:
500:
193:
121:
1235:
1195:
941:
926:
839:
726:
704:
692:
644:
464:
456:
400:
315:
222:
173:
818:
798:
712:
708:
426:
and "long-settlement transactions" exposed to counterparty credit risk, where
299:
1165:
512:
460:
389:
377:
156:
68:
415:; considerations insufficiently addressed under the preceding frameworks.
1023:
63:
1078:
553:
440:
of all trades, is aggregated by counterparty, and then netted-off with
108:
58:
1145:
499:. Because of its two-step aggregation, capital allocation between
1160:
126:
598:
496:
249:
244:
537:"Counterparty credit risk in Basel III - Executive Summary"
479:
calculation where it is combined with the counterparty's
511:
is also input to other regulatory results such as the
552:
Basel
Committee on Banking Supervision (2014-03-31).
1001:
862:
827:
779:
691:
643:
636:
535:Basel Committee on Banking Supervision (2018).
610:
342:
8:
40:International regulatory standards for banks
640:
617:
603:
595:
507:. Various methods are then proposed here.
349:
335:
33:
475:The SA-CCR EAD is an input to the bank's
394:Basel III: Finalising post-crisis reforms
528:
411:and non-margined trades and recognizes
307:
281:
138:
100:
36:
49:Basel Committee on Banking Supervision
7:
29:Standardized approach (credit risk)
388:trades. It was published by the
25:
892:Conditional Value-at-Risk (CVaR)
505:risk-adjusted return on capital
1211:Strategic financial management
1014:Asset and liability management
491:; Some banks thus incorporate
407:, that differentiates between
1:
325:Business and Economics Portal
282:Pillar 2: Supervisory review
139:Pillar 1: Regulatory capital
789:Operational risk management
453:"Potential Future Exposure"
308:Pillar 3: Market disclosure
1306:
961:Proportional hazards model
912:Interest rate immunization
582:"Allocating SA-CCR fairly"
363:standardized approach for
26:
1244:
630:financial risk management
455:to the counterparty: per
907:First-hitting-time model
872:Arbitrage pricing theory
517:net stable funding ratio
365:counterparty credit risk
27:Not to be confused with
1216:Stress test (financial)
922:Modern portfolio theory
18:Current exposure method
418:SA-CCR calculates the
1290:Derivatives (finance)
1254:Investment management
1156:Investment management
882:Replicating portfolio
658:Sovereign credit risk
1259:Mathematical finance
1191:Risk-return spectrum
1181:Mathematical finance
1136:Fundamental analysis
1069:Exchange traded fund
653:Consumer credit risk
429:EAD = α × (RC + PFE)
1285:Capital requirement
1249:Financial economics
1206:Statistical finance
972:Value-at-Risk (VaR)
877:Black–Scholes model
717:Holding period risk
420:exposure at default
392:in March 2014. See
374:capital requirement
147:Capital requirement
1226:Structured product
1221:Structured finance
1201:Speculative attack
887:Cash flow matching
850:Non-financial risk
747:Interest rate risk
673:Concentration risk
477:regulatory capital
1267:
1266:
1039:Corporate finance
1034:Capital structure
988:Cash flow at risk
984:Liquidity at risk
957:Survival analysis
858:
857:
804:Reputational risk
678:Credit derivative
586:www.fisglobal.com
382:counterparty risk
359:
358:
41:
16:(Redirected from
1297:
1141:Growth investing
1059:Enterprise value
1009:Asset allocation
992:Earnings at risk
974:and extensions (
917:Market portfolio
781:Operational risk
766:Refinancing risk
641:
619:
612:
605:
596:
589:
575:
569:
568:
566:
564:
549:
543:
533:
510:
497:KVA calculations
494:
431:
413:netting benefits
376:framework under
351:
344:
337:
290:Economic capital
257:Operational risk
39:
37:Basel Framework
34:
21:
1305:
1304:
1300:
1299:
1298:
1296:
1295:
1294:
1270:
1269:
1268:
1263:
1240:
1176:Systematic risk
1074:Expected return
1054:Economic bubble
1049:Diversification
1044:Cost of capital
997:
854:
823:
775:
757:Volatility risk
721:Price area risk
687:
663:Settlement risk
632:
623:
593:
592:
576:
572:
562:
560:
551:
550:
546:
534:
530:
525:
508:
492:
427:
390:Basel Committee
355:
131:Risk management
118:Monetary policy
38:
32:
23:
22:
15:
12:
11:
5:
1303:
1301:
1293:
1292:
1287:
1282:
1272:
1271:
1265:
1264:
1262:
1261:
1256:
1251:
1245:
1242:
1241:
1239:
1238:
1233:
1228:
1223:
1218:
1213:
1208:
1203:
1198:
1193:
1188:
1183:
1178:
1173:
1168:
1163:
1158:
1153:
1148:
1143:
1138:
1133:
1132:
1131:
1126:
1121:
1116:
1111:
1106:
1101:
1096:
1091:
1086:
1076:
1071:
1066:
1061:
1056:
1051:
1046:
1041:
1036:
1031:
1026:
1021:
1016:
1011:
1005:
1003:
1002:Basic concepts
999:
998:
996:
995:
980:Margin at risk
976:Profit at risk
969:
967:Tracking error
964:
954:
949:
944:
939:
937:Risk-free rate
934:
929:
924:
919:
914:
909:
904:
899:
894:
889:
884:
879:
874:
868:
866:
860:
859:
856:
855:
853:
852:
847:
842:
837:
835:Execution risk
831:
829:
825:
824:
822:
821:
816:
814:Political risk
811:
806:
801:
796:
791:
785:
783:
777:
776:
774:
773:
762:Liquidity risk
759:
754:
752:Inflation risk
749:
744:
742:Margining risk
739:
734:
732:Valuation risk
729:
724:
701:Commodity risk
697:
695:
689:
688:
686:
685:
683:Securitization
680:
675:
670:
665:
660:
655:
649:
647:
638:
634:
633:
626:Financial risk
624:
622:
621:
614:
607:
599:
591:
590:
570:
544:
527:
526:
524:
521:
513:leverage ratio
473:
472:
469:initial margin
449:
438:mark-to-market
357:
356:
354:
353:
346:
339:
331:
328:
327:
321:
320:
319:
318:
310:
309:
305:
304:
303:
302:
297:
295:Liquidity risk
292:
284:
283:
279:
278:
277:
276:
275:
274:
269:
264:
254:
253:
252:
247:
237:
236:
235:
230:
220:
219:
218:
213:
212:
211:
208:
198:
197:
196:
191:
181:
171:
170:
169:
164:
159:
157:Leverage ratio
154:
141:
140:
136:
135:
134:
133:
124:
115:
103:
102:
98:
97:
96:
95:
94:
93:
92:
91:
86:
81:
76:
66:
61:
51:
43:
42:
24:
14:
13:
10:
9:
6:
4:
3:
2:
1302:
1291:
1288:
1286:
1283:
1281:
1278:
1277:
1275:
1260:
1257:
1255:
1252:
1250:
1247:
1246:
1243:
1237:
1234:
1232:
1231:Systemic risk
1229:
1227:
1224:
1222:
1219:
1217:
1214:
1212:
1209:
1207:
1204:
1202:
1199:
1197:
1194:
1192:
1189:
1187:
1184:
1182:
1179:
1177:
1174:
1172:
1169:
1167:
1164:
1162:
1159:
1157:
1154:
1152:
1149:
1147:
1144:
1142:
1139:
1137:
1134:
1130:
1127:
1125:
1122:
1120:
1117:
1115:
1112:
1110:
1107:
1105:
1102:
1100:
1097:
1095:
1092:
1090:
1087:
1085:
1082:
1081:
1080:
1077:
1075:
1072:
1070:
1067:
1065:
1062:
1060:
1057:
1055:
1052:
1050:
1047:
1045:
1042:
1040:
1037:
1035:
1032:
1030:
1029:Capital asset
1027:
1025:
1022:
1020:
1019:Asset pricing
1017:
1015:
1012:
1010:
1007:
1006:
1004:
1000:
993:
989:
985:
981:
977:
973:
970:
968:
965:
962:
958:
955:
953:
952:Sortino ratio
950:
948:
945:
943:
940:
938:
935:
933:
930:
928:
925:
923:
920:
918:
915:
913:
910:
908:
905:
903:
900:
898:
895:
893:
890:
888:
885:
883:
880:
878:
875:
873:
870:
869:
867:
865:
861:
851:
848:
846:
845:Systemic risk
843:
841:
838:
836:
833:
832:
830:
826:
820:
817:
815:
812:
810:
807:
805:
802:
800:
797:
795:
794:Business risk
792:
790:
787:
786:
784:
782:
778:
771:
767:
763:
760:
758:
755:
753:
750:
748:
745:
743:
740:
738:
735:
733:
730:
728:
725:
722:
718:
714:
710:
706:
702:
699:
698:
696:
694:
690:
684:
681:
679:
676:
674:
671:
669:
666:
664:
661:
659:
656:
654:
651:
650:
648:
646:
642:
639:
635:
631:
627:
620:
615:
613:
608:
606:
601:
600:
597:
587:
583:
579:
574:
571:
559:
555:
548:
545:
542:
538:
532:
529:
522:
520:
518:
514:
506:
502:
501:trading desks
498:
490:
486:
482:
478:
470:
466:
462:
458:
454:
450:
447:
443:
439:
435:
434:
433:
430:
425:
421:
416:
414:
410:
406:
402:
397:
395:
391:
387:
383:
379:
375:
371:
367:
366:
352:
347:
345:
340:
338:
333:
332:
330:
329:
326:
323:
322:
317:
314:
313:
312:
311:
306:
301:
298:
296:
293:
291:
288:
287:
286:
285:
280:
273:
270:
268:
265:
263:
260:
259:
258:
255:
251:
248:
246:
243:
242:
241:
238:
234:
231:
229:
226:
225:
224:
221:
217:
214:
209:
207:
204:
203:
202:
199:
195:
192:
190:
187:
186:
185:
182:
180:
177:
176:
175:
172:
168:
165:
163:
160:
158:
155:
153:
152:Capital ratio
150:
149:
148:
145:
144:
143:
142:
137:
132:
128:
125:
123:
119:
116:
114:
110:
107:
106:
105:
104:
99:
90:
87:
85:
82:
80:
77:
75:
72:
71:
70:
67:
65:
62:
60:
57:
56:
55:
54:Basel Accords
52:
50:
47:
46:
45:
44:
35:
30:
19:
1186:Moral hazard
1171:Risk of ruin
947:Sharpe ratio
809:Country risk
770:Deposit risk
668:Default risk
585:
573:
561:. Retrieved
557:
547:
540:
531:
474:
428:
417:
398:
369:
362:
360:
267:Standardized
228:Standardized
205:
122:Central bank
1280:Credit risk
1236:Toxic asset
1196:Speculation
1129:social work
1114:engineering
942:Risk parity
927:Omega ratio
840:Profit risk
727:Equity risk
705:Volume risk
693:Market risk
645:Credit risk
558:www.bis.org
541:www.bis.org
495:into their
465:correlation
457:asset class
451:PFE is the
424:derivatives
401:asset class
380:addressing
223:Market risk
174:Credit risk
1274:Categories
819:Legal risk
799:Model risk
713:Shape risk
709:Basis risk
637:Categories
523:References
487:to derive
446:collateral
442:haircutted
422:, EAD, of
386:derivative
316:Disclosure
300:Legal risk
113:Regulation
101:Background
1166:Risk pool
1079:Financial
461:"add-ons"
378:Basel III
372:) is the
69:Basel III
1089:analysis
1024:Bad debt
902:Drawdown
864:Modeling
580:(2017).
515:and the
459:, trade-
409:margined
64:Basel II
1104:betting
1094:analyst
1084:adviser
737:FX risk
405:hedging
240:CVA vol
109:Banking
89:Endgame
59:Basel I
1146:Hazard
897:Copula
764:(e.g.
703:(e.g.
509:SA-CCR
493:SA-CCR
370:SA-CCR
250:SA-CVA
245:BA-CVA
206:SA-CCR
167:Tier 2
162:Tier 1
1151:Hedge
1109:crime
1099:asset
932:RAROC
828:Other
563:3 May
262:Basic
194:A-IRB
189:F-IRB
179:SA-CR
1161:Risk
1124:risk
628:and
565:2018
483:and
403:and
384:for
361:The
127:Risk
84:FRTB
79:NSFR
1119:law
1064:ESG
584:,
578:FIS
489:RWA
485:LGD
272:AMA
233:IMA
216:CCF
210:IMM
201:EAD
184:IRB
74:LCR
1276::
990:,
986:,
982:,
978:,
768:,
719:,
715:,
711:,
707:,
556:.
539:.
519:.
481:PD
396:.
129:/
120:/
111:/
994:)
963:)
959:(
772:)
723:)
618:e
611:t
604:v
588:.
567:.
448:.
444:-
368:(
350:e
343:t
336:v
31:.
20:)
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