BCBS 237
Definition
BCBS 237 is a document published by the Basel Committee on Banking Supervision on December 2012 in the Risk Management category.
Title
Basel III counterparty credit risk and exposures to central counterparties - Frequently asked questions.
Abstract
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 as well as the July 2012 publication of the interim framework for determining capital requirements for bank exposures to CCPs.
Today's publication sets out the fourth set of frequently asked questions (FAQs) that relate to Basel III counterparty credit risk requirements, including the default counterparty credit risk charge, the credit valuation adjustment capital charge and asset value correlations. It also includes FAQs relating to the interim framework for bank exposures to CCPs. FAQs that have been added since the publication of the third version of this document in November 2012 are shaded yellow.
Document Profile
- Publication Date: December 2012
- Publication Type: Faqs
- Publication Status: Consolidated
- Publication Category: Risk Management
- Number of Pages: 25
- Keywords: Credit Valuation Assessment, Asset Value Correlation, AVC, Credit Risk, CVA
See Also
Disclaimers
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