Template-Type: ReDIF-Book 1.0
Author-Name: Bank for International Settlements
Title: Foundations of the standardised approach for measuring counterparty credit risk exposures
Provider-Name: 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.
Creation-Date: 2014-08
File-URL: https://www.bis.org/publ/bcbs_wp26.pdf
File-Format: Application/pdf
File-Function: Full PDF document
File-URL: https://www.bis.org/publ/bcbs_wp26.htm
File-Format: text/html
Number: 26
Handle: RePEc:bis:bisbcw:26