Considering counterparty credit risk (CCR) for derivatives using valuation adjustments (CVA) is a fundamental and challenging task for entities involved in derivative trading activities. Particularly calculating the expected exposure is time consuming and complex. This paper suggests a fast and simple semi-analytical approach for exposure calculation, which is a modified version of the new regulatory standardized approach (SA-CCR). Hence, it conforms with supervisory rules and IFRS 13. We show that our approach is applicable to multiple asset classes and derivative products, and to single transactions as well as netting sets.

中文翻译：

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使用修改后的监管方法计算交易对手信用风险的估值调整

对于参与衍生品交易活动的实体来说，使用估值调整（CVA）考虑衍生品的交易对手信用风险（CCR）是一项基本且具有挑战性的任务。特别是计算预期暴露既耗时又复杂。本文提出了一种快速、简单的半分析方法来计算风险暴露，该方法是新监管标准化方法（SA-CCR）的修改版本。因此，它符合监管规则和 IFRS 13。我们表明，我们的方法适用于多种资产类别和衍生产品，以及单一交易和净额结算集。