SA-CCR – Explaining the Calculations

Background In March 2014, the Basel Committee on Banking Supervision published bcbs279, the Standardised Approach for measuring Counterparty Credit Risk exposures. SA-CCR replaces the current non-internal model approaches, the Current Exposure Method (CEM) of 1995 and the Standardised Method (SM) of 2005. The majority of banks currently use CEM as relatively few firms have Internal Model Method (IMM) approval […]