Looking beyond SA-CCR
An alternative calculation of exposure at default that handles complex portfolios is presented
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The standardised approach for counterparty credit risk (SA-CCR) has become a single non-model approach for calculating exposure at default (EAD) for counterparty credit risk capital under Basel III. In this article, Michael Pykhtin examines ways of overcoming the SA-CCR’s shortcomings, including reliance on regulatory sensitivities and compressing the time dimension of exposure prior to transaction aggregation. He proposes an analytical framework for EAD
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