Basel Committee proposes revisions to the CVA risk framework

British Columbia - Image by ArtTower from Pixabay

The Basel Committee on Banking Supervision (Committee) has published a consultative document on revisions to the credit valuation adjustment (CVA) risk framework. 

The paper seeks the views of stakeholders on a set of limited adjustments to the CVA risk framework published in December 2017.

The first set of proposed revisions aims to align the CVA framework with the final market risk framework, which was published in January 2019.

The Committee is also considering adjusting the scope of portfolios subject to CVA risk capital requirements.  

It seeks feedback on a possible calibration adjustment of the overall capital requirements calculated under the CVA standardised and basic approaches.

Stakeholders are to provide comments by February 25, 2020.

Photo Credit: Pixabay

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