
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
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Risk management
Regulation
EU banks fret over mismatches on ESG disclosure rules
Different timelines for banks and their clients could stymie comparisons between banks
Receive this by email