Banks forlorn over new Basel counterparty risk charge
Having run the numbers, dealers are finding a new standardised approach to credit risk from the Basel Committee isn't quite as appealing as first hoped, and is riven by data challenges and ambiguities in the rules
October 29, 2015 update: Clarifies differences in approach to collateral and margin under SA-CCR
With a vast array of new capital rules under consultation at the moment, the Basel Committee on Banking Supervision ought to be relieved at having at least one set of requirements done and dusted. The committee published its final standardised approach for measuring counterparty credit exposures in March 2014, with a revised version appearing a month later. Implementation is set for January 2017, but
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