Regulatory Alerts2025-12-19
Added · Updated
CVA Risk Capital Charge
The Hong Kong Monetary Authority issued this guidance to specify the capital charge requirements for Counterparty Credit Risk (CCR) under the Standardised Approach. The document outlines the methodology for calculating the CVA risk capital charge, ensuring that authorized institutions hold sufficient capital to cover potential losses from changes in the mark-to-market value of OTC derivatives. This regulation applies to all authorized institutions and aligns with broader market risk capital adequacy standards.
Topics
Share