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1. 1. The New Standardized Approach for Measuring Counterparty Credit Risk

   University essay from KTH/Matematisk statistik

   Author : Sara Jonsson; Beatrice Rönnlund; [2014]
   Keywords : ;

   Abstract : This study investigates the differences in calculationof exposure at default between the current exposure method (CEM) and the newstandardized approach for measuring counterparty credit risk exposures (SA-CCR)for over the counter (OTC) derivatives. The study intends to analyze theconsequence of the usage of different approaches for netting as well as the differencesin EAD between asset classes. READ MORE