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SACR—Standard approach to credit risk

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The standard approach to credit risk (SACR) is one of the two possible approaches to determine risk-weighted position amounts. There is also the IRB approach, which is based on internal ratings.

 

In the SACR, the risk-weighted position is calculated by multiplying the value of the risk position with the defined or determined risk weight. The value of the risk position is the remaining book value of an asset item after specific credit risk adjustments and additional value adjustments. The risk weight is determined by assigning the risk position to an asset class defined in the CRR. For each of these asset classes, risk weights are provided depending on the assumed default risk. Taking into account external credit assessments, these default risks depend on the respective rating of the counterparty. Blanket risk weights are intended for unrated risk positions.

The standard approach to credit risk is currently undergoing a fundamental revision by the Basel Committee on Banking Supervision (BCBS).

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