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Credit exposure under the new standardized approach for counterparty credit risk: fixing the treatment of equity options

Kratochwil, Michael



Abstract

The new standardized approach for measuring counterparty credit risk exposures (SA-CCR) will replace the existing regulatory standard methods for exposure quantification. There is ongoing discussion with respect to the calibration and appropriate treatment of nonlinear products under the SA-CCR. The calibration of supervisory parameters for equity derivatives has been a particular bone of ...

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