SA-CCR tweak could slash equity risk charge – research

Better calibration would cut equity options exposures in half, research finds

Bringing the standardised approaches for counterparty credit and market risk into line would mean sharp drops in capital held against equity options exposures, according to newly published research, which puts hard numbers to longstanding industry calls to rationalise the treatment of equity derivatives under the incoming framework.  

In research published in the Journal of Credit Risk, Michael Kratochwil, a researcher at Regensburg University in Germany, argues that the standardised approach