The Basel Committee on Banking Supervision has today issued a consultative paper on its Review of the Credit Valuation Adjustment Risk Framework. In undertaking this review, the Committee’s objectives 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 of CVA employed under various accounting regimes; and (iii) ensure consistency with the proposed revisions to the market risk framework under the Basel Committee’s Fundamental review of the trading book.
More information via press release: http://www.bis.org/press/p150701.htm
