BIS: Counterparty credit risk rules - Basel III FAQs

21 November 2011

The Basel Committee on Banking Supervision today issued frequently asked questions on Basel III's counterparty credit risk rules.

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:         

1. Default counterparty credit risk charge
2. Credit Valuation Adjustment (CVA) risk capital charge
3. Asset value correlations

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