Standardized approach for counterparty credit risk (SA-CCR)
FRM Part 2 glossary · Credit Risk
Definition
Basel method for measuring derivatives exposure at default through replacement cost and potential future exposure.
Standardized approach for counterparty credit risk (SA-CCR) in plain English
SA-CCR differentiates margined from unmargined trades and recognizes netting and collateral under prescribed rules. Its supervisory factors can make regulatory exposure differ from an internal simulation.
Also called: SA-CCR
Practice Standardized approach for counterparty credit risk (SA-CCR)
Which of the following describes 'physical settlement' in a CDS contract?
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