ECB advises how to calculate exposure to counterparty credit risk

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The European Central Bank (ECB) has finalised its guide showing how it assesses banks’ compliance with counterparty credit risk models and regulatory requirements.

The guide outlines the methodology the ECB uses to review how euro area banks calculate their exposure to counterparty credit risk and advanced credit valuation adjustment risk.

The final publication follows a public consultation which ended on 18 March.

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