- SA-CCR for Excel calculates the Standardised Approach for Credit Risk
- Use it to reconcile your calculations
- Or assess the impact of moving to SA-CCR
- And perform pre-trade what-if analysis
- Free 14-day trials are available for all financial firms.
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 from their regulator. As SA-CCR is (slowly) implemented by national regulators over the coming years, this new approach to measuring exposures will have an impact on credit risk capital and leverage ratio calculations.
We covered the details in two blogs:
Lets take a look at the SA-CCR for Excel workbook.
On opening the Get Started sheet is shown.
Explaining how to use the functionality in the workbook, by suggesting a few simple edits.
Switching to the calculation sheet, we see the trade format that can be copied into the sheet and the calculated SA-CCR results in the top box. In this case we see the examples given in the bcbs279 document.
What-if Trades Sheet
Switching to the What-if Trades sheet allows us to enter one or more what-if trades against a specific counterparty portfolio and the determine the change in the SA-CCR measure on that portfolio.
Super easy to use.
Automating the Calculations
If you need to run lots of these calculations, then it makes sense to automate.
A convenient way to do that is to use Clarus Microservices.
As then you can write a script in Python, R or Julia to call the calculator.
Invitation to Try
If your firm is moving from CEM to SA-CCR, please give it a try.
It is quick and easy to use.