BCBS D488
Definition
BCBS D488 is a document published by the Basel Committee on Banking Supervision on November 2019 in the Market Risk category.
Title
Credit Valuation Adjustment risk - targeted revisions.
Abstract
Improvements to the capital framework to better capture CVA risk is one of the key elements of the Basel Committee's overall efforts to reform global regulatory standards in response to the global financial crisis.
This consultation document proposes a set of targeted adjustments to the credit valuation adjustment (CVA) risk framework issued in December 2017. These revisions aim to align relevant parts of the revised CVA risk framework with the Minimum capital requirements for market risk published in January 2019 as well as Capital requirements for bank exposures to central counterparties .
In addition the Committee seek feedback on a possible adjustment to the overall calibration of capital requirements calculated under the CVA standardised and basic approaches.
The proposed standards text has been prepared in a new modular format that adopts the style of the Basel framework . The Committee welcomes comments on the consultative document. Comments should be uploaded here by Tuesday 25 February 2020. All comments will be published on the website of the Bank for International Settlements unless a respondent specifically requests confidential treatment.
Document Profile
- Publication Date: November 2019
- Publication Type: Consultative
- Publication Status: Closed
- Publication Category: Market Risk
- Number of Pages: 37
- Keywords: Market Risk
See Also
Disclaimers
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