Michael Kratochwil is a PhD candidate at the Chair of Statistics and Risk Management, University of Regensburg (Germany). His research interests include counterparty credit risk, derivatives pricing and valuation adjustments, collateralization of derivatives as well as the application of deep learning in risk management. His academic work is accompanied by his engagement in the financial consulting business. He is currently employed at Nagler & Company, a consulting firm for financial institutions based in Germany. In his role as Senior Manager in the area of Risk & Analytics, he is responsible for market and counterparty risk related topics. In the past years he has managed various client-related projects in the area of risk management. Prior to his current affiliations, Kratochwil was part of the market risk management department of Commerzbank AG (Germany) from 2009 to 2015.
Credit exposure under the new standardized approach for counterparty credit risk: fixing the treatment of equity options
The new standardized approach for measuring counterparty credit risk exposures (SA-CCR) will replace the existing regulatory standard methods for exposure quantification. This paper provides empirical evidence that the SA-CCR parameters are not aligned…