Basel counterparty risk charge to be reworked
Several aspects of Basel counterparty risk charge up for revision, including calibration and index hedges
The Basel Committee on Banking Supervision is to overhaul its proposed charge for counterparty risk, after central bank governors and heads of supervision admitted the calibration of the original proposal was “excessive”.
The credit valuation adjustment (CVA) charge is meant to account for counterparty risk losses short of default. Although the basics of the contentious charge will remain the same, the Basel Committee’s risk management and modelling group (RMMG) will now review several key
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