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:
I. Default counterparty credit risk charge
(a) Effective Expected Positive Exposure (EPE) with stressed parameters
(b) Collateralised counterparties and margin period of risk
II. Credit Valuation Adjustment (CVA) risk capital charge(a) Standardised CVA capital charge
(b) Advanced CVA capital charge
(c) Eligible hedges
(d) Treatment of incurred CVA