सभी किताबें

1 Primary & Middle School Mathematicsकक्षा 1–9 ऑनलाइन 2 High School Mathematicsकक्षा 10–12 ऑनलाइन 3 University Mathematics — Year 1स्नातक वर्ष 1 ऑनलाइन 4 University Mathematics — Year 2स्नातक वर्ष 2 ऑनलाइन 5 University Mathematics — Year 3स्नातक वर्ष 3 ऑनलाइन

1 Primary & Middle School Physicsकक्षा 1–9 ऑनलाइन 2 High School Physicsकक्षा 10–12 ऑनलाइन 3 University Physics — Year 1स्नातक वर्ष 1 ऑनलाइन 4 University Physics — Year 2स्नातक वर्ष 2 ऑनलाइन 5 University Physics — Year 3स्नातक वर्ष 3 ऑनलाइन

1 Primary & Middle School Biologyकक्षा 1–9 ऑनलाइन 2 High School Biologyकक्षा 10–12 ऑनलाइन 3 University Biology — Year 1स्नातक वर्ष 1 ऑनलाइन 4 University Biology — Year 2स्नातक वर्ष 2 ऑनलाइन 5 University Biology — Year 3स्नातक वर्ष 3 ऑनलाइन

1 Markets I: The Ecosystem and Exchange-Traded Marketsबाज़ार ऑनलाइन 2 Markets II: Rates, FX and Creditबाज़ार ऑनलाइन 3 Markets III: Commodities, Energy and Cryptoबाज़ार ऑनलाइन 4 Quantitative Methodsविधियाँ ऑनलाइन 5 Derivatives and Volatilityडेरिवेटिव्स ऑनलाइन 6 Rates, Credit, XVA and Riskब्याज दरें, क्रेडिट और जोखिम ऑनलाइन 7 Research Craft: Predictors, Backtests, Measurement, Portfoliosअनुसंधान ऑनलाइन 8 Strategies I: Equities and Futuresरणनीतियाँ ऑनलाइन 9 Strategies II: Volatility, Relative Value, Macro and the Bank Desksरणनीतियाँ ऑनलाइन 10 Microstructure and Executionनिष्पादन ऑनलाइन 11 Market Making and High-Frequency Tradingमार्केट मेकिंग ऑनलाइन 12 Machine Learning for Marketsमशीन लर्निंग ऑनलाइन 13 Low-Latency Softwareतकनीक ऑनलाइन 14 Networks, Hardware and Trading Infrastructureतकनीक ऑनलाइन 15 Research, Data and Risk Platformsतकनीक ऑनलाइन 16 The Desk and the Firmफ़र्म ऑनलाइन 17 The Industry: Firms, Roles and Careersकरियर ऑनलाइन 18 The Interview Bookकरियर ऑनलाइन

सभी गेम Math Fuse Word Reactor Atlas Dash

ऐप्स परिचय

Coach

English Français Español Nederlands Português हिन्दी العربية Bahasa Indonesia

लॉग इन पढ़ना शुरू करें

Quantitative Finance · शब्दावली

Exposure at default, SA-CCR क्या है?

अन्य नाम: exposure at default · standardised approach for counterparty credit risk

Definition 19.6 Rates, Credit, XVA and Risk · अध्याय 19 — Funding, Margin and Capital Adjustments

The exposure at default (EAD) of a netting set is the exposure a capital rule charges for its counterparty’s default. The standardised approach for counterparty credit risk (SA-CCR) sets $\mathrm{EAD} = 1.4\,(\mathrm{RC}+\mathrm{multiplier}\times\mathrm{AddOn})$ : a replacement cost ( $\max(V-C,0)$ , or $\max(V-C,\mathrm{Th}+\mathrm{MTA}-\mathrm{NICA},0)$ under margin) plus supervisory add-ons per asset class (for interest rates, 0.5% of the notional times a supervisory duration and a maturity factor), scaled down for excess collateral.

उदाहरण

Example 19.7 (The swap’s EAD)

Today the swap has no replacement cost; its supervisory duration is 7.87 years and its add-on 0.5% of USD 100 million times 7.87, USD 3.93 million, so its EAD is USD 5.51 million. Under a CSA with a ten-day margin period of risk the maturity factor is $1.5\sqrt{10/250} = 0.30$ and the replacement cost floor the MTA of USD 0.5 million: EAD USD 2.35 million. The implementation reproduces the Basel Committee’s worked example (an EAD of 569 thousand on three trades).

अध्याय में पढ़ें →