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Dec 28

Fourth Set: Basel III counterparty credit risk - Frequently asked questions

Posted by abiao at 16:07 | Code | Comments(2) | Reads(9606)
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.
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Below are three sets 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. More sets may be forthcoming, stay tuned.

First set
Second set
Third set
Fourth set

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