The new standardized approach for measuring counterparty credit risk exposures (SA-CCR) will replace the existing regulatory standard methods for exposure quantification. There is an ongoing discussion with respect to the calibration and appropriate treatment of nonlinear products under the SA-CCR. The calibration of supervisory parameters for equity derivatives has been a particular bone of contention. Further, the SA-CCR struggles with the adequate reflection of nonstandard options. Our paper provides empirical evidence that the SA-CCR parameters are not aligned with historically observed volatilities. We explore a potential alignment of the SA-CCR with the new standardized approach for market risk (SA-TB) as well as the application of economic delta adjustments for path-dependent equity products. Our results demonstrate that an alignment of SA-CCR and the SA-TB could lead to a significantly improved risk assessment for equity derivatives.

中文翻译：

---

交易对手信用风险新标准法下的信用敞口：固定股权的处理

衡量交易对手信用风险敞口的新标准方法（SA-CCR）将取代现有的风险量化监管标准方法。关于 SA-CCR 下非线性产品的校准和适当处理的讨论正在进行中。股票衍生品监管参数的校准一直是争论的焦点。此外，SA-CCR 还在努力充分反映非标准选项。我们的论文提供了经验证据，表明 SA-CCR 参数与历史观察到的波动率不一致。我们探索了 SA-CCR 与新的市场风险标准化方法 (SA-TB) 的潜在一致性，以及对路径依赖股票产品的经济增量调整的应用。