Counterparty calamity: inside Basel's new standard charge
Capital for modelling banks could jump by half if 75% floor is applied to SA-CCR
Standardised, regulator-set approaches to the calculation of bank capital generally look conservative when compared with banks' own, more risk-sensitive capital models. That is a given, so it's no surprise the proposed new standardised approach to counterparty credit risk (SA-CCR) is set to generate numbers two to three times higher than under a typical internal model.
What makes this outcome newly significant is the proposal for a system of capital floors for banks that use the internal model
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