Revisiting SA-CCR

Mourad Berrahoui, Othmane Islah, Chris Kenyon
27 Apr 2019

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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

The recent request for comments from the Office of the Comptroller of the

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