Regulatory Alerts2010-12-21
Basel Committee Papers on Back Testing Counterparty Credit Risk Models and Capitalization of Bank Exposures to Central Counterparties
The Saudi Arabian Monetary Authority (SAMA) requires banks active in trading activities involving central counterparties to review two Basel Committee papers on back testing counterparty credit risk models and capitalization of bank exposures. These institutions must submit their feedback to SAMA by 20 January 2011, with responses mandatory even when no comments are provided. The referenced papers are publicly accessible via the Bank for International Settlements website.
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