Computing valuation adjustments for counterparty credit risk using a modified supervisory approach

Patrick Büchel (), Michael Kratochwil () and Daniel Rösch ()
Additional contact information
Patrick Büchel: Commerzbank AG
Michael Kratochwil: Universität Regensburg
Daniel Rösch: Universität Regensburg

Review of Derivatives Research, 2020, vol. 23, issue 3, No 3, 273-322

Abstract: Abstract Considering counterparty credit risk (CCR) for derivatives using valuation adjustments (CVA) is a fundamental and challenging task for entities involved in derivative trading activities. Particularly calculating the expected exposure is time consuming and complex. This paper suggests a fast and simple semi-analytical approach for exposure calculation, which is a modified version of the new regulatory standardized approach (SA-CCR). Hence, it conforms with supervisory rules and IFRS 13. We show that our approach is applicable to multiple asset classes and derivative products, and to single transactions as well as netting sets.

Keywords: Counterparty credit risk; Credit valuation adjustments (CVA); Credit exposure; Standardized approach for measuring counterparty credit risk exposures (SA-CCR) (search for similar items in EconPapers)
JEL-codes: G21 G32 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s11147-019-09165-w Abstract (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:revdev:v:23:y:2020:i:3:d:10.1007_s11147-019-09165-w

Ordering information: This journal article can be ordered from
http://www.springer. ... 29/journal/11147/PS2

DOI: 10.1007/s11147-019-09165-w

Access Statistics for this article

Review of Derivatives Research is currently edited by Gurdip Bakshi and Dilip Madan

More articles in Review of Derivatives Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().