This guidance sets out supervisory expectations as well as recommendations to strengthen the backtesting of internal assessments of counterparty credit risk exposures.
Risk Management
This document clarifies supervisory expectations on the range of industry AMA practices while promoting increased convergence in operational risk management.
1 October 2010
The goal of these principles is to reduce mechanistic reliance on ratings and to incentivise improvements in independent credit risk assessment and due diligence capacity.
The report recommends enhancements to haircut-setting and margining practices to dampen the build-up of leverage in good times and soften the system-wide effects during a market downturn. It also recommends that macroprudential authorities consider measures that involve countercyclical variations in margins and haircuts.