In March 2014 the Basel Committee on Banking Supervision (BCBS) published a final standard on The standardised approach for measuring counterparty credit risk exposures which included a comprehensive, non-modelled approach for measuring counterparty credit risk associated with over-the-counter derivatives, exchange-traded derivatives, and long settlement transactions.

Since March 2014 the BCBS has received a number of interpretation questions related to the standardised approach for measuring counterparty credit risk (SA-CCR). The SA-CCR will replace the current non-internal model approaches, the Current Exposure Method (CEM) and the Standardised Method (SM). To help ensure global implementation of its standards the BCBS has published frequently asked questions that relate to the SA-CCR.

View Basel III: The standardised approach for measuring counterparty credit risk exposures, 19 August 2015

Leave a Reply

Your email address will not be published. Required fields are marked *