Tid: 2 juni 2014 kl 15.15-16.00.Seminarierummet 3721, Institutionen för matematik, KTH, Lindstedtsvägen 25, plan 7. Karta!
Föredragshållare: Sara Jonsson and Beatrice Rönnlund
Titel: The new standardized approach for measuring counterparty risk (Master Thesis)
Abstract This study investigates the differences in calculation of exposure at default between the current exposure method (CEM) and the new standardized approach for measuring counterparty credit risk exposures (SA-CCR) for over the counter (OTC) derivatives. The study intends to analyze the consequence of the usage of different approaches for netting as well as the differences in EAD between asset classes. After implementing both models and calculating EAD on real trades of a Swedish commercial bank it was obvious that SA-CCR has a higher level of complexity than its predecessor. The results from this study indicate that SA-CCR gives a lower EAD than CEM because of the higher recognition of netting but higher EAD when netting is not allowed. Foreign exchange derivatives are aaffected to a higher extent than interest rate derivatives in this particular study. Foreign exchange derivatives got lower EAD both when netting was allowed and when netting was not allowed under SA-CCR. A change of method for calculating EAD from CEM to SA-CCR could result in lower minimum capital requirements.
|Sidansvarig: Filip Lindskog