Sound Practices for Backtesting Counterparty Credit Risk Models
31 May 2010
Source: BIS
Deadline: 31 May 2010
This consultation document falls under the proposed changes to the Basel II framework and provides additional information on supervisory expectations as well as recommendations to strengthen the backtesting of internal assessments of counterparty credit risk exposures. The Committee believes that implementation of these sound practices will improve backtesting of banks` models and, consequently, will enhance the resilience of individual banks and financial system.
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