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Review of the Credit Valuation Adjustment (CVA) risk framework – consultative document

News Item, Regulations, Risk /

A Review of the Credit Valuation Adjustment Risk Framework is being undertaken by the Basel Committee. The objectives of the review are to (i) ensure that all important drivers of credit valuation adjustment (CVA) risk and CVA hedges are covered in the Basel regulatory capital standard; (ii) align the capital standard with the fair value measurement […]

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Basel Committee consults on interest rate risk in the banking book

Basel, News Item, Regulations /

The Basel Committee on Banking Supervision has issued in June 2105 a consultative document on the risk management, capital treatment and supervision of interest rate risk in the banking book (IRRBB). This consultative document expands upon and is intended to ultimately replace the Basel Committee’s 2004 Principles for the management and supervision of interest rate

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EBA publishes results of the Basel III monitoring exercise

Basel, News Item, Regulations /

The European Banking Authority (EBA) published today its eight report of the Basel III monitoring exercise on the European banking system. This exercise, run in parallel with the one conducted by the Basel Committee on Banking Supervision (BCBS) at a global level, allows the gathering of aggregate results on capital ratios and leverage ratio (LR), as well

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