Regulatory Alerts2014-04-10
Added · Updated
Implementation of new standardised approach for measuring counterparty credit risk exposures
The Hong Kong Monetary Authority announces its intention to implement the Basel Committee on Banking Supervision's new Standardised Approach for Counterparty Credit Risk (SA-CCR) by January 1, 2017. This new non-modelled approach replaces the Current Exposure Method and Standardised Method, offering greater risk sensitivity through better calibration to market volatilities and recognition of margining effects. The HKMA strongly recommends that authorized institutions currently using the CEM review the final standard and enhance their operational capacity, data sufficiency, and IT infrastructure to prepare for the transition.
More like this from HKMA
HKMA published 11 documents in the last 30 days. We email you each new one the day it's published.