Confusion over CCP default fund charge

CCP charge confusion


Of all the working groups that research and draft standards for consideration by the Basel Committee on Banking Supervision, the risk management and modelling group (RMMG) has had one of the heaviest workloads over the past two years. Charged with drawing up new standards to capture counterparty credit risk in 2009, the group spent much of last year adjusting its proposals in response to industry criticism, particularly the controversial capital charge for credit value adjustment (CVA). While