Tuesday, November 22, 2011

Basel Committee Issues FAQ on Counterparty Credit Risk Rules

The Basel Committee on Banking Supervision has issued a Frequently Asked Questions document providing technical elaboration on its counterparty credit risk rules, published in June. This FAQ document questions and technical interpretations grouped according to the relevant paragraphs of the rules, in particular, default counterparty credit risk charge, and the credit valuation adjustment (CVA) capital charge, and asset value correlations: