Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/288900 
Year of Publication: 
2020
Citation: 
[Journal:] Review of Derivatives Research [ISSN:] 1573-7144 [Volume:] 23 [Issue:] 3 [Publisher:] Springer US [Place:] New York, NY [Year:] 2020 [Pages:] 273-322
Publisher: 
Springer US, New York, NY
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.
Subjects: 
Counterparty credit risk
Credit valuation adjustments (CVA)
Credit exposure
Standardized approach for measuring counterparty credit risk exposures (SA-CCR)
JEL: 
G21
G32
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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