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Foundations of the standardised approach for measuring counterparty credit risk exposures

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  • Bank for International Settlements

Abstract

The Committee prepared this technical paper to explain the different modelling assumptions that were used in developing the standardised approach for measuring counterparty credit risk exposures (SA-CCR). The final standard was published in March 2014 (revised April 2014). A revised version of this paper was published in June 2017 to correct the numbering of equations featured in the paper.

Suggested Citation

  • Bank for International Settlements, 2014. "Foundations of the standardised approach for measuring counterparty credit risk exposures," BCBS Working Papers 26, Bank for International Settlements.
    • Handle: RePEc:bis:bisbcw:26
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    References listed on IDEAS

    as
    1. Michael S. Gibson, 2005. "Measuring counterparty credit exposure to a margined counterparty," Finance and Economics Discussion Series 2005-50, Board of Governors of the Federal Reserve System (U.S.).
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