31 Juillet 2012

Basel III FAQs on counterparty credit risk rules + Basel III counterparty credit risk - Frequently asked questions (update of FAQs published in November 2011 - 25 July 2012

Le 31 juillet 2012

The Basel Committee on Banking Supervision today issued frequently asked questions (FAQs) on Basel III's counterparty credit risk rules. To promote consistent global implementation of Basel III, the Committee has agreed to periodically review frequently asked questions and publish answers along with any technical elaboration of the rules text and interpretative guidance that may be necessary.

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. Today's publication sets out the second set of frequently asked questions that relate to counterparty credit risk, including the default counterparty credit risk charge, the credit valuation adjustment (CVA) capital charge and asset value correlations

http://www.bis.org/press/p120725c.htm



Basel III counterparty credit risk - Frequently asked questions (update of FAQs published in November 2011)
July 2012

The Basel Committee on Banking Supervision has received a number of interpretation questions related to the December 2010 publication of the Basel III regulatory frameworks for capital and liquidity and the 13 January 2011 press release on the loss absorbency of capital at the point of non-viability.

Today's publication sets out the second set of frequently asked questions (FAQs) that relate to counterparty credit risk, including the default counterparty credit risk charge, the credit valuation adjustment (CVA) capital charge and asset value correlations. FAQs that have been added since the publication of the first version of this document in November 2011 are shaded yellow.

These FAQs aim to promote consistent global implementation of Basel III.

http://www.bis.org/publ/bcbs228.htm

À télécharger

Liens

Diaporama

Haut de page