Karşı Taraf Kredi Riskinin Yönetimi ve Yeni Standart Yaklaşım ile Ölçümü

Bu çalışmada, karşı taraf kredi riskine ilişkin iyi yönetim uygulamaları, karşı taraf kredi riskinin hesaplanmasında Basel Bankacılık Denetim Komitesi tarafından bir hesaplama standardı olarak önerilen yeni Standart Yaklaşım'ın metodolojisi ve hipotetik bir portföy üzerinden muhtemel sonuçları ele alınmıştır. Yapılan değerlendirme ve analizlere göre, bir marj sözleşmesi bulunmadığı müddetçe yeni Standart Yaklaşım'da, mevcut standart olan Gerçeğe Uygun Değerine Göre Değerleme Yöntemi'ne nazaran genellikle daha yüksek risk tutarları hesaplanmaktadır.

Management of Counterparty Credit Risk and Measurement with new Standardised Approach

In this study, sound management practices of counterparty credit risk and the methodology of the standardized approach which introduced by Basel Committee on Banking Supervision as a new measurement standard for counterparty credit risk are explained. Then, the new approach's results are assessed and analyzed on a hypothetical portfolio. According to assessment and analysis, unless a margin agreement exists, the new standardized approach generally results higher risk exposure than the present Current Exposure Method.

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