Counterparty Credit Risk and Other Risk-Coverage Measures

By: Akhtar Siddique, Office of the Comptroller of the Currency

This article was first published as a chapter in Basel III and Beyond on July 27, 2011, by Risk Books.

5.1 Introduction

This chapter covers the revisions to the counterparty credit risk (CCR) capital rules in the Basel III framework. Counterparty credit risk is the risk that counterparties will fail to meet their obligations. It most commonly arises in over-the-counter (OTC) derivatives transactions that have promised cashflows in the future and whose payment depends on the creditworthin