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Letters to the BCBS’ Risk Measurement Group (“RMG”)

Risk & Capital
Capital June 5, 2012
< 1  min.read

Letters to the BCBS’ Risk Measurement Group (“RMG”) on “Prudential treatment of the impact of own credit spreads on the valuation of OTC derivatives” and “Removal of CVA gains arising from own credit spread deterioration by reference to an Industry Index” following a RMG-ISDA meeting on May 29 2012.

Documents (2) for Letters to the BCBS’ Risk Measurement Group (“RMG”)

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