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SA-CCR (Standardized Approach for Counterparty Credit Risk)

Calculate exposure at default (EAD) of OTC derivatives, exchange-traded derivatives, and long-settlement transactions

SA-CCR is a Basel Committee on Banking Supervision regulatory framework. It standardizes the calculation of capital requirements for derivative transactions' credit risk exposure. As part of the Basel III framework, it is globally implemented to ensure uniformity in calculating credit risk capital requirements across financial institutions.

Counterparty credit risk refers to the chance of a party in a derivative transaction defaulting before settlement. This risk, often arising from off-balance sheet derivatives trading, must be quantified as exposure at default (EAD) for capital adequacy. Derivatives can be traded through private (OTC) agreements or central counterparties (CCP).

The SA-CCR calculates capital requirements considering factors like derivative type, netting agreements, collateral, potential future exposure, and specific and general risk components of credit risk exposure.

For the SA-CCR regulatory framework, use saccr to create a saccr object and then use the rc, addOn, pfe, ead, addOnChart, eadChart, pfeChart, and rcChart functions.

Objects

saccrCreate saccr object to support ISDA SA-CCR workflows for credit risk (Since R2024a)

Functions

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rcCalculate complete replacement cost (RC) for each portfolio (Since R2024a)
addOnCalculate add-ons aggregated from all asset classes for each portfolio (Since R2024a)
pfeCalculate potential future exposure (PFE) for each portfolio (Since R2024a)
aggregateAggregate add-ons or exposures at default (EAD) over all portfolios (Since R2024a)
eadCalculate exposure at default (EAD) value for each portfolio (Since R2024a)
aggregateAggregate add-ons or exposures at default (EAD) over all portfolios (Since R2024a)
aggregateByCounterpartyAggregate exposures at default (EADs) by counterparty (Since R2024a)
addOnChartGenerate add-on chart (Since R2024b)
eadChartGenerate exposure-at-default (EAD) chart (Since R2024b)
pfeChartGenerate potential future exposure (PFE) chart (Since R2024b)
rcChartGenerate replacement cost (RC) chart (Since R2024b)

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