The Committee has received a number of interpretation questions related to the December 2010 publication of the Basel III regulatory frameworks for capital and liquidity. This publication sets out the first set of FAQs that relate to the counterparty credit risk rules, including the default counterparty credit risk charge, the credit valuation adjustment (CVA) capital charge and asset value correlations.
Contents:
-
Default counterparty credit risk charge
-
Credit Valuation Adjustment (CVA) risk capital charge
-
Asset value correlations
Full text
© BIS - Bank for International Settlements
Key
Hover over the blue highlighted
text to view the acronym meaning
Hover
over these icons for more information
Comments:
No Comments for this Article