1. Risk & Capital
  2. Capital
  3. Letters to the BCBS’ Risk Measurement Group (“RMG”)

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”)

Latest

Addressing Termination Troubles

When Enron announced a shock $618 million loss on October 16, 2001, it took a further 47 days until it filed for bankruptcy. For Bear Stearns, it took 266 days between its bailout of a structured credit fund run by...