The fixed factor in the Basel Committee on Banking Supervision's new methodology for measuring counterparty credit risk exposures fails to account for the stability of some Asian currencies and leaves banks using the standard facing capital requirements calibrated on a volatility expectation 20 times higher than realised level.
In June, the Basel Committee released a new paper to deal with counterparty credit risk for derivatives, which capitalises against the risk of losses due to counterpartie
The week on Risk.net, October 6-12, 2017Receive this by email
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