Berrahoui, M;
Islah, O;
Kenyon, C;
(2019)
Revising SA-CCR.
Risk
pp. 1-6.
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Abstract
In this article, Mourad Berrahoui, Othmane Islah and Chris Kenyon propose a comparison for SA-CCR, termed Revisited SA-CCR, which reconstructs SA-CCR in a self-consistent and appropriately risk-sensitive way by cashflow decomposition in a three-factor Gaussian market model identified from SA-CCR itself. This framework can guide banks in resolving ambiguities in their SA-CCR interpretation.
| Type: | Article |
|---|---|
| Title: | Revising SA-CCR |
| Open access status: | An open access version is available from UCL Discovery |
| Publisher version: | https://www.risk.net/cutting-edge/banking/6597386/... |
| Language: | English |
| Additional information: | This version is the version of record. For information on re-use, please refer to the publisher's terms and conditions. |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences > Dept of Mathematics |
| URI: | https://discovery-pp.ucl.ac.uk/id/eprint/10140260 |
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