Counterparty Credit Risk

APRA standard requires banks to adopt risk management practices relating to counterparty credit risk

Australian Prudential Regulation Authority standard requires banks to: i) calculate counterparty credit risk exposure amounts according to a standardized approach for measuring such exposures or the adjusted current exposure method; ii) apply risk weights to counterparty credit risk exposure amounts for capital adequacy purposes;  iii) where applicable, calculate and hold a credit valuation adjustment risk capital charge;  iv) where applicable, calculate and hold a default fund capital charge for default fund contributions to a qualifying central counterparty; and v) adopt risk management practices for bilateral and centrally cleared counterparty credit risk exposures.

Publisher: National Regulators     Release date: Jul 2019    

Type: Consultative, discussion and issues paper

Peer: The Standardised Approach for Measuring Counterparty Credit Risk Exposures , Capital Requirements for Bank Exposures to Central Counterparties

Topics: Credit risk

Sectors: Banking