Page 34 - CCFA Journal - Second Issue

加中金融

修订的框架（SA-CCR） REVISED FRAMEWORK (SA-CCR)

银行目前正在使用 SA-CCR。监管机构已采取 SA-CCR 方法来 SA-CCR is what banks are currently using. SA-CCR methodology
解决原始标准法（CEM）的缺点。但是它仍然依赖于 CEM 方 has been undertaken by regulators to address the shortcomings of the
法的简单和好处。因此，新方法下的 EAD 定义如下： original standardized method (CEM). But it still relies on the
simplicity and benefits of the CEM approach. As such, the EAD
EAD= α*(Replacement Cost +PFE), where PFE=Multiplier*Add-on under the new approach is defined as follows:
重置成本是在净额结算情况下计算的，区分了保证金交易和非 EAD= α*(Replacement Cost +PFE), where PFE=Multiplier*Add-on
保证金交易，并考虑了交易如何抵消风险。
The replacement cost is computed at netting set level. It distinguishes
附加公式以前是本金加上一些因素，但是在 SA-CCR 中，它引 between unmargined and margined transactions and considers how
入了更多细节。它引入了风险敏感性，例如 Delta 来调整本 the deals offset risk.
金。它区别对待不同的资产类型（利率，外汇，信用，股票， The add-on formulation used to be notional plus some factors;
和大宗商品）。图 1 显示了计算的流程。 however, in SA-CCR, it introduces more details. It introduces risk
sensitivities such as delta to adjust the notional. It differs from one
asset class to another (Interest rates, Foreign Exchange, Credit,
Equity, and commodity). Figure 1 shows the flow of the calculation.

Figure 1. SA-CCR Calculation

当前 SA-CCR 框架的缺点 Drawback of the Current SA-CCR Framework

1. 缺乏对风险敏感性的理解和解释。 1. Lack of understanding and explanation of risk sensitivity.
2. 无法反映同一资产类别和净额结算的风险抵消。 计算违约 2. Cannot reflect the offsets of risks in the same asset class and
风险和 CVA 风险的资本的重要因素是衡量投资组合中标的 netting sets. Material to the calculation of capital charges for
default risk and CVA risk is the measurement of the exposure of
资产交易的风险敞口，其中净额结算概念起着重要的作
用。净额结算用于估计风险敞口，是与单一交易对手进行 the underlying transactions in a portfolio, where the concept of
a netting set plays an important role. A netting set, for the
的一组交易，这些交易法律上受双边净额结算协议的约 estimation of the exposure amount, is a group of transactions
束。 with a single counterparty that are subject to a legally
enforceable bilateral netting arrangement.
所有这些缺陷带来新引入的 CVA 风险资本：SA-CVA，下面将
由 Xun 进行讨论。 All of these shortcoming leads to the newly introduced Capital
charges for CVA risk: SA-CVA, which is discussed below by Xun.
2008 年后的 CVA 资本改革
POST 2008 REFORMS FOR CVA CAPITAL
从 2008 年的金融危机开始，当时银行造成的大量损失并非来
自实际违约，而是来自于压力情景和信贷利差激增导致的 CVA Starting from the 2008 financial crisis, a large amount of the losses
价值波动进而产生的损益表损失。所以许多损失并不是信贷产 incurred by the banks at the time were not from the actual default,
生的损失，而是指损益表的损失。为了衡量由此产生的 CVA but was actually coming from the P&L loss that was carried on the
book due to the CVA price fluctuation, when there is a stress
风险，巴塞尔引入了 CVA 资本。
condition and credit spread shoots up. A lot of the losses are not the
materialized credit loss, but the P&L loss. To capture the CVA risk,
Basel introduced the CVA capital.

CCFA JOURNAL OF FINANCE DECEMBER 2020
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