Foundations of the standardised approach for measuring counterparty credit risk exposures

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.

The views expressed in this publication are those of the authors and not necessarily those of the BIS.