دورية أكاديمية
Counterparty Credit Risk in OTC Derivatives under Basel III
| العنوان: | Counterparty Credit Risk in OTC Derivatives under Basel III |
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| المؤلفون: | Sayah, Mabelle |
| المساهمون: | Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, Unité de Recherche Environnement, Génomique Fonctionnelle et Études Mathématiques Beyrouth (UR-EGFEM), Université Saint-Joseph de Beyrouth (USJ), Banque Audi, Beyrouth, LibanCNRS Libanais, Beyrouth, Liban |
| المصدر: | journal of mathematical finance ; https://hal.science/hal-01550312Test ; journal of mathematical finance, 2016, 07, pp.1 - 38. ⟨10.4236/jmf.2017.71001⟩ |
| بيانات النشر: | HAL CCSD |
| سنة النشر: | 2016 |
| المجموعة: | HAL Lyon 1 (University Claude Bernard Lyon 1) |
| مصطلحات موضوعية: | OTC Derivatives, Basel III, Counterparty Credit Risk, SA-CCR, CVA, [QFIN.GN]Quantitative Finance [q-fin]/General Finance [q-fin.GN] |
| الوصف: | International audience ; Recent financial crises were the root of many changes in regulatory implementations in the banking sector. Basel previously covered the default capital charge for counterparty exposures however, the crisis showed that more than two third of the losses related to this risk emerged from the exposure to the movement of the counterparty's credit quality and not its actual default therefore, Basel III divided the required counterparty risk capital into two categories: The traditional default capital charge and an additional counter-party credit valuation adjustment (CVA) capital charge. In this article, we explain the new methodologies to compute these capital charges on the OTC market: The standardized approach for default capital charge (SA-CCR) and the basic approach for CVA (BA-CVA). Based on historical calibration and future estimations, we built internal models in order to compare them with the amended standardized approach. Up till June 2015, interest rate and FX derivatives constituted more than 90% of the traded total OTC notional amount; we constructed our application on such portfolios containing and computed their total counterparty capital charge. The analysis reflected different impacts of the netting and collateral agreements on the regulatory capital depending on the instruments' typologies. Moreover, results showed an important increase in the capital charge due to the CVA addition doubling it in some cases. |
| نوع الوثيقة: | article in journal/newspaper |
| اللغة: | English |
| العلاقة: | hal-01550312; https://hal.science/hal-01550312Test; https://hal.science/hal-01550312/documentTest; https://hal.science/hal-01550312/file/JMF_2016123016343974.pdfTest |
| DOI: | 10.4236/jmf.2017.71001 |
| الإتاحة: | https://doi.org/10.4236/jmf.2017.71001Test https://hal.science/hal-01550312Test https://hal.science/hal-01550312/documentTest https://hal.science/hal-01550312/file/JMF_2016123016343974.pdfTest |
| حقوق: | info:eu-repo/semantics/OpenAccess |
| رقم الانضمام: | edsbas.82F164C4 |
| قاعدة البيانات: | BASE |
| DOI: | 10.4236/jmf.2017.71001 |
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