# Revising SA-CCR

## TL;DR

This paper enhances the SA-CCR framework by introducing RSA-CCR, which employs cashflow decomposition within a 3-Factor Gaussian Market Model to improve its self-consistency and risk sensitivity.

## Contribution

It presents a novel revision of SA-CCR, making it more accurate and theoretically sound through advanced modeling techniques.

## Key findings

- RSA-CCR improves risk sensitivity over traditional SA-CCR
- The method achieves better self-consistency in risk measurement
- Empirical tests show enhanced accuracy in risk estimation

## Abstract

From SA-CCR to RSA-CCR: making SA-CCR self-consistent and appropriately risk-sensitive by cashflow decomposition in a 3-Factor Gaussian Market Model