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Credit Valuation Adjustment risk – targeted revisions

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Summary of document history   Previous version Previousconsultation This version Subsequentconsultation Subsequentversion Basel III: Finalising post-crisis reforms 7 Dec 2017 Type:  Standards Status:  Forthcoming This version BCBS  |  Consultative  |  28 November 2019  |  Status:  Open [Upload comments] PDF full text (494kb)  |  37 pages Topics:

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Summary of document history  

This version

BCBS  | 
Consultative
 | 
28 November 2019
 | 
Status:  Open [Upload comments]
PDF full text
 (494kb)
 |  37 pages
Topics: Market risk

Improvements to the capital framework to better capture CVA risk is one of the key elements of the Basel Committee's overall efforts to reform global regulatory standards in response to the global financial crisis.

This consultation document proposes a set of targeted adjustments to the credit valuation adjustment (CVA) risk framework issued in December 2017. These revisions aim to align relevant parts of the revised CVA risk framework with the Minimum capital requirements for market risk published in January 2019 as well as Capital requirements for bank exposures to central counterparties .

In addition the Committee seek feedback on a possible adjustment to the overall calibration of capital requirements calculated under the CVA standardised and basic approaches.

The proposed standards text has been prepared in a new modular format that adopts the style of the Basel framework . The Committee welcomes comments on the consultative document. Comments should be uploaded here by Tuesday 25 February 2020. All comments will be published on the website of the Bank for International Settlements unless a respondent specifically requests confidential treatment.

International Settlement
The Bank for International Settlements (BIS) is an international company limited by shares owned by central banks which "fosters international monetary and financial cooperation and serves as a bank for central banks". The BIS carries out its work through subcommittees, the secretariats it hosts and through an annual general meeting of all member banks. It also provides banking services, but only to central banks and other international organizations. It is based in Basel, Switzerland, with representative offices in Hong Kong and Mexico City.

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