BCBS 209

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Definition

BCBS 209 is a document published by the Basel Committee on Banking Supervision on November 2011 in the Risk Management category.

Title

Basel III counterparty credit risk - Frequently asked questions.

Abstract

The Basel Committee on Banking Supervision has received a number of interpretation questions related to the 16 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. To help ensure a 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.

This document sets out the first set of frequently asked questions that relate to the counterparty credit risk sections of the Basel III rules text. The questions and answers are grouped according to the relevant paragraphs of the rules text.

<tbody> </tbody>
Contents Page
I. Default counterparty credit risk charge 1
(a) Effective Expected Positive Exposure (EPE) with stressed parameters 1
(b) Collateralised counterparties and margin period of risk 3
II. Credit Valuation Adjustment (CVA) risk capital charge 5
(a) Standardised CVA capital charge 5
(b) Advanced CVA capital charge 6
(c) Eligible hedges 8
(d) Treatment of incurred CVA 9
III. Asset value correlations 9

Document Profile

See Also

Disclaimers

For definitive information on regulatory matters always consult primary sources, especially where it concerns legally binding rules and regulations.

The above regulatory document abstract is quoted verbatim in this Open Risk Manual entry and provided free of charge for the convenience of all internet users. There is no explicit or implicit endorsement of this web service by the Bank of International Settlements. The copyright of the included material rests with the original authors (Links to the original texts are duly provided).