Dealers focus on capital charge for CCP default fund

06/6/2013 | Risk.net (subscription required)

Regulators are considering a couple of models for calculating the capital banks will be required to hold against exposure to central counterparty default funds. Derivatives dealers are poised to call on regulators to consider another, more risk-sensitive model. Bankers say the incremental default risk charge, known as IDRC, is more sensitive to risk and has other advantages over regulators' proposals.

View Full Article in:

Risk.net (subscription required)

Published in Briefs: