From SA-CCR to RSA-CCR: making SA-CCR self-consistent and appropriately
risk-sensitive by cashflow decomposition in a 3-Factor Gaussian Market ModelComment: 20 pages, 13 table

Berrahoui, Mourad

Islah, Othmane

Kenyon, Chris

English

arXiv

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

Revising SA-CCR

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