ISDA Risk Management

The Risk Management Committee is a forum created for the purpose of discussing the prudential treatment of ISDA member firms and advances in risk management techniques. The Committee itself does not meet. Its members are invited to join Working Groups, the size of which enables interaction and facilitates the production of research documents, surveys, or recommendations to regulators. The Risk Management Committee receives quarterly updates on the activities of the working groups, together with ad-hoc information bulletins on topical issues.

Advocacy: ISDA represents its members with prudential regulators at a global, regional, and occasionally national level.
Education: ISDA hosts a series of risk management seminars, offering insight into latest academic research, leading industry practice or current regulatory thinking in the field of risk management. The seminars are held on a monthly basis in London [jointly with Prmia], less frequently in New York, Tokyo [jointly with the Tokyo Risk Management Association] and Singapore.
Research: ISDA undertakes research directly, and commissions specialist papers from consultants.

Committee Structure

Europe Co-Chair: Tanya Castell (UBS Warburg)
North America Co-Chair: Evan Picoult (Citibank)
Japan Co-Chair: Yusaku Manabe (Mitsubishi Securities)
Europe Staff Contact: Ed Duncan -- eduncan@isda.org
North America Staff Contact: David Mengle -- dmengle@isda.org
Japan Staff Contact: Tomoko Morita -- tmorita@isda.org
Asia-Pacific Staff Contact: Way Yee Bay (wybay@isda.org)

How to Join

RISK MANAGEMENT WORKING GROUPS

REGIONS	RISK MANAGEMENT WORKING GROUPS	STATUS/DISCRIPTION	PORTAL ACCESS	CHAIR	STAFF CONTACT
Global	Risk Management Committee	DISTRIBUTION LIST	Free, via ISDA PORTAL	N/A	Ed Duncan eduncan@isda.org
Global	Counterparty Risk Working Group	ACTIVE WORKING GROUP The CRWG interacts with regulators on the implementation of the trading book review, in particular Strands 1 (counterparty credit risk) and 3 (default risk modelling in the trading book)	invitation only Contact: mmarusic@isda.org	Tom Wilde (Credit Suisse)	Ed Duncan eduncan@isda.org
Global	Incremental Default Risk Technical Working Group	ACTIVE WORKING GROUP Reviews the principles for modelling default risk in the trading book being prepared by the Basel Committee	invitation only Contact: mmarusic@isda.org	Eduardo Epperlein (Citigroup)	Ed Duncan eduncan@isda.org
Global	Credit Risk Mitigation Working Group	ACTIVE WORKING GROUP The CRMWG interacts with regulators on the implementation of the credit risk mitigation sections of the Basel II framework. The group focuses on the treatment of credit default swaps and other credit derivatives, including synthetic securitisation.	invitation only Contact: mmarusic@isda.org	Ed Duncan (ISDA)	Ed Duncan eduncan@isda.org
Global	Internal Ratings Working Group	ACTIVE WORKING GROUP Interacts with regulators on issues pertaining to the IRB approach and the treatment of large exposures	invitation only Contact: mmarusic@isda.org	N/A	Ed Duncan eduncan@isda.org
Global	Operational Risk Working Group	DORMANT WORKING GROUP The ORWG deals with Basel II recreational risk implementation issues	invitation only	N/A	Richard Metcalfe rmetcalfe@isda.org
Global	Convergence of Economic Capital Models Working Group	DORMANT This WG commissioned a study of portfolio credit risk models jointly with the International Association of Portolio Managers	N/A	Mich Araten (JP Morgan Chase)	David Mengle dmengle@isda.org
EU	Commodity Firms Regulatory Capital WG	ACTIVE WORKING GROUP The CFRC WG prepares a recommendation for the Commission and the Committee of European Banking Supervisors on the capital treatment of commodity firms dealing in commodity derivatives	Restricted to commodity firms invitation only Contact: mmarusic@isda.org	Ed Duncan (ISDA)	Ed Duncan eduncan@isda.org
EU	EU Risk Management Seminars	DISTRIBUTION LIST All members of the global and EU active working groups receive invitations to attend the EU Risk Management Seminars	invitation only Contact: mmarusic@isda.org	N/A	Ed Duncan eduncan@isda.org
US	NPR Working Group	ACTIVE WORKING GROUP Prepares a response to Market Risk NPR, as well as CRM and CCR aspects of the Basel II NPR	invitation only Contact: jpachos@isda.org	Evan Picoult (Citigroup)	David Mengle dmengle@isda.org
US	US Risk Management seminars	DISTRIBUTION LIST All North American based members of the Risk Management Committee are invited. Register yourselves directly on the Risk Management Committee		N/A	David Mengle dmengle@isda.org
Japan	Japan Risk Management Committee	ACTIVE WORKING GROUP Discusses the issues and interacts with regulators relating to Basel II Interpretation in Japan	invitation only Contact: tmorita@isda.org	Hideyuki Sago (Mitsubishi UFJ Securities)	Tomoko Morita tmorita@isda.org
Asia	Asia Risk Management Committee	DISTRIBUTION LIST Used for inviting members to Singapore and Hong Kong Risk Management seminars	invitation only Contact: ctien@isda.org	TBD	Way Yee Bay wybay@isda.org
Asia	Asia Counterparty Risk Working Group	ACTIVE WORKING GROUP Formed in late January 2007	invitation only Contact: ctien@isda.org	TBD	Way Yee Bay wybay@isda.org

Risk Management Issues (please click on the item of interest)

CREDIT RISK MITIGATION

SUBJECT	STATUS	AVAILABLE DOCUMENTS
Commission Bancaire's response to ISDA's February 17th letter on the recognition of purchased CDS protection documented under a Master netting agreement.	This response confirms that, with immediate effect, in order for a firm to claim capital relief, the Commission Bancaire no longer requires protection bought against banking book exposures to be booked under a separate Master Agreement from that covering other derivatives. The letter notes that, among other things, this is consistent with the thrust of the Collateral Directive (2002/47). This is an issue on which ISDA has maintained a long-term dialogue with the Commission Bancaire, and appreciates the support of members generally and of counsel in Paris at Gide Loyrette Nouel in particular.	Commission Bancaire response to ISDA's February 17th letter (September 21, 2006)
ISDA letter to Commission Bancaire on the recognition of purchased CDS protection documented under a Master netting agreement.	ISDA letter sent to Secretariat General of Commission Bancaire.	ISDA letter to Commission Bancaire (February 17, 2006)
ISDA questions the withdrawal from the New Accord of the notion of "control over restructuring"	ISDA's response to the Basel Committee's letter of 25 February 2004	Letter to Norah Barger, Chair of Credit Risk Mitigation Sub-group of the Basel Committee (March 12, 2004)
Comments on Basel Committee technical paper regarding the capital treatment of securitisation exposures	A detailed review of the pros and cons of simplifying the supervisory formula approach to unrated securitisation tranches	Joint ISDA-BBA-LIBA letter to the Financial Services Authority on securitisation, (February 16, 2004)
Comments on Federal Reserve Board White Paper on Double Default and Double Recovery Effects	Joint Trade Associations comments on Federal Reserve Board White Paper	Joint Trade Associations' comment letter on the FRB White Paper on Double Default and Double Recovery Effects (November 03, 2003)
The New Basel Capital Accord: Global Securitisation Comment Letter	Comments from a group of Trade Associations on the capital treatment of securitisation transactions proposed in the Third Basel Committee Consultation Paper on the New Capital Accord.	Global Securitisation Industry Comment (July 31, 2003)
Joint ESF-ASF-ISDA-IACPM letter on the Second Working Paper (WP2) on the capital treatment of securitisation.	An in-depth analysis of WP2, including counter-proposals on RBA weights, the SFA and synthetic securitisation.	Securitisation Final Comment Letter (January 13, 2003)
Letter to Norah Barger, Chairperson of the CRM sub group, on restructuring	A presentation by industry of the case for removing restructuring events from the list of events to be hedged by credit default swaps in order to receive capital relief.	Letter to Norah Barger (October 2, 2002)
Joint ISDA-TBMA-LIBA letter to FSA on the Large Exposures Regulation of securities financing transactions.	Recommends a change in the FSA's implementation of the Banking Consolidation Directive.	Letter to Clive Briault (May 29, 2002)
Letter to the BIS Securitisation Working Group on the capital treatment of synthetics	A letter produced jointly by ISDA and the European Securitisation Forum containing our joint recommendations for the capital treatment of synthetic securitisation	Final ISDA- ESF Synthetic Comment Letter (December 12, 2001)
ISDA letter to Oliver Page, Chairman of the Capital Group on the regulatory capital treatment of hedged exposures and joint default risk.	ISDA proposal for the regulatory treatment of joint default risk arising from guarantees and credit default swaps.	Oliver Page Letter (October 3, 2001)
Capital treatment of credit derivatives in UK	The UK Financial Services Authority is bringing into one single document the credit derivatives policies previously issued by the Bank of England and the Securities and Futures Authority. ISDA, jointly with the BBA (British Bankers Association) and LIBA (London Investment Banking Association), is seizing this opportunity to request an upgrading of the rules, in particular with respect to the capital treatment of step-up/calls.	Letter to FSA (August 2000)
Linked to discussions Ireland	The Central Bank of Ireland released draft rules for comment in December 1999. ISDA responded February 2000 The CBI issued final rules in August 2000	* CBI’s draft rules (December 1999) * ISDA’s response (February 2000) * CBI’s final policy (August 2000)
Capital treatment of credit derivatives in Singapore	The Monetary Authority of Singapore has issued draft credit derivatives guidance in November 99. ISDA responded in December 99. The MAS issued final policy in September 2000.	MAS credit derivatives policy (September 2000)
Capital treatment of credit derivatives in Hong Kong	The Hong Kong Monetary Authority has released amended draft rules for comment (October 2000).	* ISDA’s response (October 2000)
Capital treatment of credit derivatives in Australia	The Australian Prudential Regulatory Authority (APRA) issued a consultative document in April 1999. ISDA drafted a response which was sent to APRA in July 1999.	* APRA consultative document on the Capital Treatment of Credit Derivatives (April 1999) * ISDA’s response (15 July 1999)
Capital treatment of credit derivatives in Germany	BAKred published rules in June 1999	BAKred Draft Circular on the Treatment of Credit Derivatives (15-A233-2/98); ISDA Draft Comments (circulated among members for feedback on August 9, 1998); ISDA Response to the BAKred (September 1998); BAKred Credit Derivatives rules (June 1999)
Capital treatment of credit derivatives in Belgium	The Belgian CBF has released draft rules for comments in October 2000	-

Relevant ISDA and PRMIA members are sent invitations in advance of these meetings. Non-members are not eligible to attend.

The Risk Management Seminar titles, speakers and presentations will be added to the table below, as and when they are confirmed.

The dates in 2008 are as follows:-

DATE	TITLE	SPEAKER	PRESENTATION
May 13, 2008	CANCELLED
June 10, 2008
July 8, 2008
August 12, 2008
September 9, 2008
October 14, 2008
November 11, 2008
December 2, 2008

Relevant ISDA and PRMIA members are sent invitations in advance of these meetings. Non-members are not eligible to attend.

The Risk Management Seminar titles, speakers and presentations will be added to the table below, as and when they are confirmed.

The dates in 2007 are as follows:-

DATE	TITLE	SPEAKER	PRESENTATION
December 12, 2007	Assessing the Current US Attitudes and Opinions on Basel II adoption	Sheila Bair, FDIC	To be posted after the seminar
November 13, 2007	CANCELLED
October 9, 2007	A Multiple Period Gaussian Copula Model of Default Risk	Gary Dunn, FSA	Introduction Slides by Ed Duncan, ISDA 9 Oct 07 Slides by Gary Dunn and Charles Monet 9 Oct 07
September 11, 2007	Assessing the impact of Incremental Default Risk (IDR) on banks’ regulatory capital – results of the ISDA impact study	Eduardo Epperlein & Alan Smillie, Citi	Slides by Eduardo Epperlein & Alan Smillie 11 Sep 07
August 14, 2007	Economic Capital Methodology	Fang Du, Federal Reserve Bank	Slides by Fang Du 08 Aug 07
July 10, 2007	Inflation Investment New Opportunities	Georges Sitbon, Calyon	To be posted after the seminar
June 12, 2007	Managing Legal Risk in Financial Markets: A Business Perspective	Craig Kersey & Paul Hattori	Slides by Craig Kersey & Paul Hattori 12 Jun 07
May 8, 2007	Modeling Constant Level of Risk	Michael Brockmann, Deutsche Bank	Slides by Michael Brockmann 08 May 07
April 10, 2007	CANCELLED
March 13, 2007	An integrated PIT/TTC Risk Rating and Loss Framework for Basel and Credit Risk Mgmt	Scott Aguais, Barclays Capital	Slides by Scott Aguais 13 Mar 07
February 13, 2007	Assessing Alternative Assumptions on Default Risk Capital in the Trading Book	Mike Gibson, Federal Reserve Board & Gary Dunn, FSA	Slides by Mike Gibson & Gary Dunn 13 Feb 07 Paper on Alternative Assumptions 12 Dec 06
January 9, 2007	Importance of Valuations and All Other Inputs in OTC Derivatives Collateral Management	Scott Linden, Bank of New York	Slides by Scott Linden 09 Jan 07

SUBJECT	STATUS	AVAILABLE DOCUMENTS
Joint Association industry response to CEBS Consultation Paper (CP16) Large Exposure rules	Joint Association industry, ISDA, LIBA, BBA response to CEBS Consultation Paper (CP16) – Second consultation paper on CEBS’ technical advice to the European Commission on the review of the Large Exposures rules	ISDA, LIBA, BBA response to CEBS CP16 (February 25, 2008)
Joint industry association response to CEBS consultation paper, CP14 on the first part of its advice to the European Commission on Large Exposures	Joint industry association ISDA, LIBA (The London Investment Banking Association), BBA (British Bankers Association) and ESF (European Securitisation Forum) response to CEBS consultation paper, CP14 on the first part of its advice to the European Commission on Large Exposures	ISDA-LIBA-BBA-ESF response to CEBS CP14 (August 15, 2007)
Joint industry association response to CEBS consultation paper, CP01rev outlining proposals to revise and develop its consultation processes and procedures	Joint industry association ISDA, LIBA (The London Investment Banking Association), FASD (Finnish Association of Securities Dealers) and SSDA (Swedish Securities Dealers Association) response to CEBS consultation paper, CP01rev outlining proposals to revise and develop its consultation processes and procedures	ISDA-LIBA-FASD-SSDA response to CEBS CP01rev (June 19, 2007)
Joint industry association response to CEBS consultation paper, CP13 covering CEBS’ proposed mediation mechanism.	Joint industry association ISDA, LIBA (The London Investment Banking Association), FASD (Finnish Association of Securities Dealers) and SSDA (Swedish Securities Dealers Association) response to CEBS consultation paper, CP13 covering CEBS’ proposed mediation mechanism	ISDA-LIBA-FASD-SSDA response to CEBS CP13 (June 19, 2007)
Joint industry comment on the US Basel II NPR	The Comment letter was sent to the Federal Reserve, OCC, FDIC, and OTS from the Institute of International Finance, the International Swaps and Derivatives Association, and the London Investment Banking Association.	Basel II NPR Industry Response (March 26, 2007)
Joint industry comment on the US Market Risk NPR	The Comment letter was sent to the Federal Reserve, OCC, FDIC, and OTS from the Institute of International Finance, the International Swaps and Derivatives Association, the London Investment Banking Association, and the Risk Management Association, developed by a joint committee of market practitioners, headed by Evan Picoult of Citigroup.	Market Risk NPR Industry Response (January 23, 2007)
Joint Trade Associations' response on CEBS CP12 on stress testing	ISDA-LIBA-BBA response on CEBS CP12 on Stress Testing under the Supervisory Review Process	Joint Trade Associations' response on CEBS CP12 (October 2, 2006)
Joint associations' Industry report on Managing Concentration Risk	ISDA-LIBA-BBA Industry report on "Managing Concentration Risk – A Review of Industry Practice (A survey of leading financial institutions, August 2006)”. The review is based on 11 detailed responses to CEBS questionnaire on Large Exposures from large internationally active firms and submitted to the associations in confidence.	ISDA-LIBA-BBA Industry report on Managing Concentration Risk (August 21, 2006)
Joint trade associations' response to FSA CP06/9	Joint trade associations' response to FSA Consultation Paper 06/9 - Organisational systems and controls: Common platform for firms	Joint trade associations' response to FSA CP06/9 (August 18, 2006)
Joint Associations' response on CESR CRA Questionnaire	ISDA-BBA-LIBA response to the CESR questionnaire on the day-to-day application of the IOSCO Code by the Credit Rating Agencies	Joint trade association response on CESR CRA Questionnaire (August 15, 2006)
Joint Associations' response to FSA on CP06/3 - Strengthening Capital Standards	ISDA-BBA-LIBA response regarding FSA's CP06/3 - Strengthening Capital Standards implementing the Capital Requirements Directive in the UK	Joint Associations' response to FSA on CP06/3 - Strengthening Capital Standards (May 5, 2006)
Joint trade association response to BCBS Consultation Document on Home-Host information sharing	ISDA/BBA/LIBA response to Basel Committee on Banking Supervision's Consultation Document on Home-Host information sharing for effective Basel II implementation, which is based on the experience and ongoing work of the Accord Implementation Group (AIG).	Joint trade association response to BCBS Consultation Document on Home-Host information sharing, (February 24, 2006)
Joint trade association response on CEBS Consultation Paper (CP) CP10R	ISDA-LIBA-BBA-ESF letter re CEBS Consultation Paper (CP) CP10R: Second Round of Consultation on the Validation and Assessment of Credit and Operational Risk Approaches under the Basel 2 regulatory Capital Requirements Directive	Joint trade association response on CEBS CP10R, (February 16, 2006)
Joint trade association response on CEBS Supplementary Note to Consultation Paper (CP) 07	ISDA-LIBA-BBA letter re CEBS Supplementary Note to Consultation Paper (CP) 07 on ECAIs' recognition	Joint trade association response on CEBS Supplementary Note to Consultation Paper (CP) 07, (November 30, 2005)
Joint trade association response on CEBS Consultation Paper (CP) CP09	ISDA-LIBA-BBA letter re CEBS Consultation Paper (CP) CP09: Co-operation between Consolidating Supervisors and Host Supervisors	Joint trade association response on CEBS CP09, (November 8, 2005)
Joint trade association response on CEBS Consultation Paper (CP) CP10	ISDA-LIBA-BBA letter re CEBS Consultation Paper (CP) CP10: Guidelines on the implementation, validation and assessment of Advanced Measurement (AMA) and Internal Ratings Based (IRB) Approaches	Joint trade association response on CEBS CP10, (October 31, 2005)
Joint trade association response on CEBS Consultation Paper (CP) CP08	ISDA-LIBA letter re CEBS Consultation Paper (CP) CP08 on its role and tasks	Joint trade association response on CEBS CP08, October 28, 2005
Joint trade association response on CEBS' CP03 Revised Supervisory Review Process	ISDA/BBA/LIBA response to the Committee of European Banking Supervisors (CEBS) on CEBS’ CP03R: Application of the Supervisory Review Process Under Pillar 2 Revised	Joint trade association response on CEBS' CP03R Supervisory Review Process (October 21, 2005)
Joint trade association response on CEBS' CP07 on the recognition of External Credit Assessment Institutions under Basel II (Standardised)	ISDA/BBA/LIBA response to the Committee of European Banking Supervisors (CEBS) on CEBS’ CP07: Consultation on the recognition of External Credit Assessment Institutions.	Joint trade association response on CEBS' CP07 on the recognition of External Credit Assessment Institutions (September 30, 2005)
Joint Associations Statement on the need for Comitology in the Capital Requirements Directive (CRD	ISDA/FBE/LIBA/FOA/EMF/IIF Statement addressed to the European Parliament and the EU Commission, on the need for Comitology in the Capital Requirements Directive	Joint Associations Statement on the need for Comitology in the Capital Requirements Directive (July 11, 2005)
CEBS Consultation on financial reporting (CP06)	ISDA-BBA-LIBA letter to Committee of European Banking Supervisors (CEBS) commenting on the proposed consolidated financial reporting framework outlined in CP06.	CEBS Consultation on financial reporting (CP06) (July 8, 2005)
CEBS Consultation on the framework for Supervisory Disclosure (CP05)	ISDA-BBA-LIBA letter to Committee of European Banking Supervisors (CEBS) commenting on the proposed supervisory disclosure framework outlined in CP05.	CEBS Consultation on the framework for Supervisory Disclosure (CP05) (June 29, 2005)
Amendments to Directive on Capital Requirements	ISDA/LIBA Letter to European Parliament on Amendments to Directive on Capital Requirements	ISDA/LIBA Letter re Directive on Capital Requirements (March 24, 2005) ISDA/LIBA Amendments re Directive on Capital Requirements (March 24, 2005)
Amendments to the proposed EU Capital Requirements Directive (CRD)	ISDA-LIBA-BBA CRD Amendments for HMT	ISDA-LIBA-BBA CRD Amendments, Summer 2004
Consultation on the Treatment of CIUs in the Trading Book and Banking Book	ISDA-LIBA Response to European Commission	ISDA-LIBA Response to EC on CIUs, (March 4, 2004)
Supervised Investment Bank Holding Companies and Consolidated Supervised Entities	ISDA Comment Letter to U.S. Securities and Exchange Commission	ISDA comment letter dated (February 4, 2004); Appendices to SEC comment letter
U.K. Implementation of New Accord (CP 189)	ISDA/BBA/LIBA response to CP 189: Report and first consultation on the implementation of the new Basel and EU Capital Adequacy Standards.	ISDA/BBA/LIBA response to CP 189 (December 12, 2003)
U.S. Implementation of New Accord (ANPR)	Joint ISDA/TBMA response to U.S. Bank Regulatory Agencies' Advance Notice of Proposed Rulemaking on the New Basel Accord	ISDA-TBMA ANPR Comment (November 3, 2003), Appendices to ISDA-TBMA Comment
Transposition of New Accord into EU law (RBCD)	Joint ISDA/LIBA comment letter to the EU Commission on the Risk Based Capital Directive.	LIBA/ISDA's response to the EU Commission on RBCD (Annex 2, Annex 3) (October 22, 2003)
Basel Accord Reform Third Consultative Paper (CP3)	Joint ISDA-TBMA comment letter to Basel Committee on Banking Supervision	ISDA-TBMA's Response to the Basel Committee on Banking Supervision's Third Consultative Paper (CP3) on the New Capital Accord (July 31, 2003)
Response to Commission Services' Working Document on Capital Requirements for Credit Institutions and Investment Firms	ISDA and LIBA commented on the proposed implementation in the EU of the New Basel Accord (CAD3), with a specific focus on the capital treatment of traded instruments and investment firms.	Cover letter David Wright (February 2003) ISDA LIBA response (February 2003)
Letter to Darryll Hendricks on the QIS3 Technical Guidance	A detailed commentary highlighting remaining industry concerns regarding the new Basel Accord draft.	Letter to Darryll Hendricks (December 20, 2002)
ISDA letter to the BIS Accord Implementation Group	Presents ISDA's Basel implementation concerns and work program.	Letter to Nicholas Le Pan (May 24, 2002)
Basel Accord Reform Second Consultative Paper (CP2)	ISDA's Response to CP2	ISDA's Response to the Basel Committee on Banking Supervision's Consultation on the New Capital Accord (May 31, 2001) Joint Trade Association Summary of the Basel Proposals (January 2001)
Transposition of New Accord in the EU	ISDA's response to EU Commission First Consultative Paper	* EU proposals (November 1999) * ISDA’s response (March 2000)
Basel Accord Reform First Consultative Paper (CP1)	ISDA's Response to CP1	ISDA’s response (February 2000) Basel consultation paper on the new capital adequacy framework (June 99)
Credit Risk & Regulatory Capital	ISDA’s study group on credit risk proposes to amend and improve the current regulatory capital regime. First initiative that proposes a concrete reform of current international regulation based on quantitative data and information on models. ISDA has discussed the paper with the European Commission, the Bundesbank, the BAKred, the FSA, the New York Fed, the Commission Bancaire and other local regulators. ISDA hosted Data Summits in London and New York to bring together data providers and risk managers. ISDA issued a comprehensive update on credit risk data availability.	ISDA paper (March 1998) * "Update on Credit Risk Data Availability" (October 1998)

SUBJECT	STATUS	AVAILABLE DOCUMENTS
Joint ISDA-LIBA letter to FSA on Computation level of Effective Expected Positive Exposure	Addressed to Gerry Cross, FSA	Joint ISDA-LIBA letter to FSA on Effective Expected Positive Exposure (March 20, 2007)
Trading Book Compendium 2005	Compendium of comment papers produced by ISDA, IIF, LIBA and TBMA on the Trading Book Review between mid 04 and mid 05	Available for sale from the Home Page
Joint ISDA-BBA-LIBA response to FSA pre-consultation on the implementation of the Internal Model Method (IMM)	Detailed commentary, covering issues such as partial use, peak versus expected exposure, own estimates of alpha and the treatment of margining.	Joint Associations' Comment Paper, Sep-05
ISDA-FBE-LIBA Response to Commission Services Consultation Paper on Trading Activities Related Issues and the Treatment of Double Default Effects	Joint Associations' response to the European Commission's consultation on Trading Activities Related Issues and the Treatment of Double Default Effects, launched on April 8, 2005	ISDA-FBE-LIBA Response to Commission Services Consultation Paper, May 27, 2005
Joint ISDA-LIBA-FOA-TBMA-IIF-IBFed Letter to Basel Committee regarding the Trading Book Review	This is a joint Associations letter to the Basel Committee regarding the Application of Basel II to Trading Activities in the Trading Book Review	Press Release; Joint Associations letter on Application of Basel II to Trading Activities (May 27, 2005)
Joint ISDA-FBE-IIF-LIBA-TBMA Letter to Jaime Caruana, Basel Committee on the Trading Book Review	This is a joint Associations letter to the Basel Committee regarding the timescales given for different issues covered in the Trading Book Review	Joint ISDA-FBE-IIF-LIBA-TBMA Letter to Basel Committee re Trading Book Review (December 9, 2004)
Joint ISDA-LIBA-TBMA Letter to Norah Barger, Basel Committee on the capital treatment of unsettled transactions	This is a joint Associations letter to the Basel Committee in response to their letter of 25th February in regard to concerns in the potential treatment of unsettled transactions.	ISDA-LIBA-TBMA Letter to Basel Committee re Unsettled Transactions (June 07, 2004)
Joint ISDA-LIBA-TBMA Basel Accord Trading Book Compendium	This document collects in one place useful research pieces and surveys produced by ISDA and the Federal Reserve Board on issues of relevance to the newly formed Basel / IOSCO trading book working group. This document is jointly produced and endorsed by ISDA, LIBA and TBMA.	Basel Accord Trading Book Compendium 2004, ISDA-LIBA-TBMA (March 05, 2004)
Joint ISDA/LIBA/TBMA recommendations on the counterparty risk treatment of OTC derivatives and securities financing transactions	An in-depth study of measures of future exposure performed by the ISDA Counterparty Risk Working Group, and endorsed by LIBA and TBMA. The Associations recommend a change in the regulators' approach to measuring future exposure for OTC derivative and securities financing transactions, and advocate using a small multiple of expected positive exposure for this purpose.	Counterparty Risk Recommendations (June 25, 2003) Counterparty Risk Annex (June 25, 2003)
Letter to the Credit Risk Mitigation Sub-group on repo VaR multipliers.	Analysis of the repo VaR multipliers proposed by the Basel Committee in the QIS3 Technical Guidance.	Letter to Norah on multipliers (March 19, 2003)
Letter to Norah Barger, Chairperson of the CRM Sub-group	A letter outlining industry views on whether and how portfolio VaR backtests can be applied to repo portfolios.	Letter to Norah on sampling (November 08, 2002)
Letter to Norah Barger, Credit Risk Mitigation Subgroup of the Basel Capital Group, regarding treatment of collateralised transactions	Joint ISDA-LIBA-TBMA response to Credit Risk Mitigation Subgroup's April 2002 letter proposing a revised treatment of collateralised transactions.	ISDA-LIBA-TBMA Letter to CRM Subgroup (May 17, 2002) CRM Subgroup Letter (April 17, 2002)
Joint ISDA-LIBA-BMA letter to Oliver Page, Chairman of the Capital Group on regulatory haircuts for securities financing transactions.	Response to the Basel Committee on the counterparty risk treatment of portfolio of securities financing transactions.	Oliver Page Letter (October 5, 2001)
Letter to Richard Gresser Chairman of the Models Task Force Sub Group on Counterparty Risk	Response to Models Task Force letter on the treatment of wrong way risk and weak independence in an EPE based framework	Richard Gresser Letter (September 7, 2001)
Letter to Daniele Nouy Chairman of the BIS Models Task Force on Counterparty Risk	Argumentation on the appropriateness of using Expected Positive Exposure to measure future exposure on OTC derivatives contracts	Daniele Nouy Letter (August 1, 2001)

SUBJECT	STATUS	AVAILABLE DOCUMENTS
Joint association industry response to the Basel Committee on Banking Supervision’s Consultative Document entitled “Guidelines for Computing Capital for Incremental Default Risk- in the Trading Book”	The response has been sent in to the Basel Committee today (and the two Co Chairs of the AIGTB, Norah Barger from the Board of Governors of the Federal Reserve and Tomas McGowan from the SEC), and also to the EU Commission and Committee of European Banking Supervisors.	ISDA leads industry response to the Basel Guidelines for Computing Capital for Incremental Default Risk- in the Trading Book, (February 15, 2008)
Basel Committee Guidelines on Incremental Default Risk	See ISDA response (February 15, 2008)	Guidelines for Computing Capital for Incremental Default Risk in the Trading Book – consultative document (October 2007)
ISDA Study on the impact of Incremental Default Risk (IDR) on banks' regulatory capital	The key conclusion is that, if IDR is implemented as currently proposed by regulators, market risk regulatory capital can be expected to almost treble relative to current VaR-based regime.	Press Release, IDR Impact Study (July 13, 2007)
Joint Industry Technical Paper on Incremental Default Risk Modeling	ISDA-IIF-LIBA Technical Paper on Incremental Default Risk Modeling sent to the AIG Trading Book Working Group	Joint Industry Technical Paper on Incremental Default Risk Modeling, (January 26, 2007)
IIF-ISDA-LIBA Note to the Accord Implementation Group regarding Strand Three of the Trading-Book Review	In this note, the Associations suggest that methodological issues inherent in the development of default models in the trading book warrant further study, and will take time to resolve. As a result, the objectives and time table of the AIG Working Group on the Trading Book should be revised.	IIF-ISDA-LIBA Note to AIG (October 23, 2006)
Proposed Principles for Modeling Incremental Default Risk in the Trading Book	Letter from the Joint IIF-ISDA-LIBA Working Group on the modeling of default risk in the trading book to the AIG Sub-group on Strand 3	Incremental Default Risk Principles, January 5, 2006
Comparative table of default models in the trading book	Table assembled by ISDA, enabling the comparison of default risk models being developed by some member firms	Comparative table, regularly updated
AIG Working Group response to IIF/ISDA/LIBA letter	Clarification brought by the regulators on the definition of the soundness standard to be met by default risk models in the trading book	AIG Working Group response, October 2005
IIF-ISDA-LIBA letter to the AIG Working Group	Joint Associations' letter requesting clarification from the regulators on paragraph 307 of the Trading Book Review	Joint Associations' letter, October 2005
The Application of Basel II to Trading Activities and the Treatment of Double Default Effects (commonly known as the Trading Book Review)	This document amends the Basel II framework in three key areas: -Counterparty Credit Risk -Double Default Risk -Market Risk	Basel/IOSCO publication, July 2005

SUBJECT	STATUS	AVAILABLE DOCUMENTS
ISDA/IIF Meeting with AIG/CTF LGD Working Group, Paris (22 June, 2005)	ISDA and IIF members met with the AIG/CTF working group on "downturn" LGDs	Meeting Summary, June 22, 2005
ISDA/IIF Meeting with AIG/CTF LGD Working Group, London (18 April, 2005)	ISDA and IIF members met with the AIG/CTF working group on "downturn" LGDs	Meeting Summary, April 18, 2005
ISDA/IIF Meeting with AIG/CTF LGD Working Group, Washington (8 February, 2005)	ISDA and IIF members met with the AIG/CTF working group on "downturn" LGDs	Meeting Summary, February 8, 2005
Joint ISDA LIBA BBA Working Group Discussion Paper on Low Default Portfolios - January 2005	To inform discussions between regulators and firms (on January 27th in New York) circulated to members of ISDA and the AIG Sub-Group on Validation.	Joint ISDA LIBA BBA Working Group Discussion Paper on Low Default Portfolios, January 2005
Joint ISDA-LIBA-BBA Response to CEBS' (Committee of European Banking Supervisors) Paper on Basel Pillar 2	Joint Industry Response on CEBS' Paper The Application Of The Supervisory Review Process Under Pillar 2, sent to Louis Roldan, CEBS	Final Response ISDA-LIBA-BBA on CEBS Paper, August 31, 2004
Joint ISDA-LIBA-BBA working group paper on Low Default Portfolios	IRB Approach for Low Default Portfolios - Recommendations of the Joint ISDA, LIBA, BBA Industry Working Group sent to Nick Le Pan, Accord Implementation Group	Introduction Paper to Nick Le Pan, AIG, August 9, 2004; Paper to Nick Le Pan, AIG, August 9, 2004
ISDA/EBF letter to Jaime Caruana, Basel Committee, on LGD requirements in the New Accord.	ISDA/EBF letter sent simultaneously with IIF, regarding Treatment of Loss Given Default.	ISDA/EBF letter to Jaime Caruana, Basel Committee, on LGD requirements, May 11, 2004
Basel Accord: Minimum Requirements for the IRB approach.	ISDA Comments on Section 2.III.H of CP3	ISDA Letter to Nick Le Pan, Accord Implementation Group (July 30, 2003)
Advanced IRB Forum, New York (19 June) and London (23 June)	ISDA, RMA and BBA discussed results of their survey on the validation of banks' internal credit ratings, a key element underlying the Internal Ratings-Based (IRB) approach in the New Basel Capital Accord.	- Slides by David Wright June 19, 2003 - Slides by Michel Crouhy June 19, 2003 - Slides by Scott Dillman June 19, 2003 - Slides by Lawrence Mielnicki June 19, 2003 -Slides by Kevin Ryan June 23, 2003 - Slides by Warren Mockett June 23, 2003 - Slides by Idzard van Eeghen June 23, 2003 - Slides by Monika Mars June 23, 2003 - Slides by Laurie Mayers June 23, 2003 - Slides by Sebastian Fritz June 23, 2003
Meeting with AIG members on Validation	ISDA was invited to attend the June meeting of the Accord Implementation Group (AIG) to present the results of the Internal Ratings Validation Study. The meeting was chaired by Nick Le Pan and comprised 35 regulators from the G10 countries. Three Associations invited both retail and corporate specialists who participated in the Study from Europe and North America. The Study was published in the second week of June, and all regulators and firms present were sent advanced copies of the report. An audience with the AIG would represent the first truly international discussion on validation between regulators and the industry.	Notes from the AIG meeting on Validation (June 18, 2003)
Meeting with AIG Members on Data Issues	Outlined in the paper is a summary of the responses from the ISDA Internal Ratings Working Group (IRWG) on “data” issues arising from the AIG questionnaire on the New Basel Accord and notes from the meeting with members of the AIG and representatives from ISDA that took place in Washington DC on April 16th.	Notes to AIG Data Issues (April 16, 2003)
Letter to Nick le Pan on the Minimum Requirements for the IRB approach set out in the Technical Guidance for QIS 3	A commentary submitted to the AIG by ISDA highlighting issues which would, in our opinion, benefit from further guidance, clarification, or amendment in CP3.	IRWG letter to Nicholas Le Pan (December 20, 2002)
Letter to Stephen Bland (Models Task Force) on the revised IRB definition of default.	A letter focusing on the need for regulators to [clarify (i) the meaning of "credit related economic loss" and (ii) the relationship between the IRB definition of default and the operational requirements imposed on credit default swaps and guarantees.]	IRB Default Letter- (February 22, 2002)
ISDA letter to Darryll Hendricks on the IRB treatment of expected losses and future margin income.	Response to the Basel Committee consultation paper on the IRB treatment of expected losses and future margin income.	Darryll Hendrick's Letter- (October 25, 2001)
Letter to Stephen Bland Chairman of the Models Task Force Sub Group on Equity Holdings	Response to the Basel Committee consultation paper on the capital treatment of equity holdings in the banking book	Stephen Bland Letter (September 17, 2001)
Letter to Daniele Nouy chairman of the BIS Models Task Force on the Granularity adjustment to the IRB function	Amendments to the proposed granularity function, as well as to the representation of loss given default volatility	Daniele Nouy Letter (July 30, 2001)
EBF-ISDA retail risk management study	ISDA surveyed retail risk management practices jointly with the European Banking Federation	EBF-ISDA retail portfolio study
Basel Accord/re-estimation of index matrix	ISDA re-estimated its credit risk index matrix at the 99.5^th percentile	Re-estimation of index matrix (July 2000)
Basel Accord/Models Task Force Surveys	ISDA assisted the BIS Models Task Force by collating information on the following issues: - Definition of default used by banks - Loss Given Default/Exposure at Default estimates - Economic capital allocations for credit risk	Definition of Default survey (July 2000)

SUBJECT	STATUS	AVAILABLE DOCUMENTS
Basel Accord / EU Capital Adequacy Directive Reform	ISDA's Operational Risk Working Group is made up of member firms directly affected by capital rules. It continues to stress the importance of flexibility in the rules on operational risk, in order to accommodate the reality of current and evolving practice in the management of this risk. The ORWG works closely with the Risk Management Group of the Basel Committee, on both quantitative and qualitative issues.ISDA has conducted impact studies to determine the appropriate level for: 1) the ‘alpha’ factor that should apply in the ‘Basic Indicator Approach’; and 2) the ‘beta’ factors proposed for The Standardized Approach.	ISDA responses to Basel/EU consultation contain chapters on operational risk. (See section above on ‘Capital Accord Reform’ for details). Other papers include: A letter to the Accord Implementation and Risk Management Groups on the January 2004 Basel Committee paper on Home-host allocation of AMA capital. ISDA maintains that, at a minimum, clarifications are necessary to the 'hybrid' supervisory approach, in order not to prejudice the workability of the more advanced methods of calculating operational risk capital. ISDA wrote to the Risk Management Group in May 2003, ahead of a meeting in New York. A copy of this letter is available. ISDA September 2002 response to Risk Management Group consultations on 'Sound Practices' paper and 'Rules' language ISDA Response to Basel Committee’s ‘Working Paper on the Regulatory Treatment of Operational Risk’ Further Proposals for Regulatory Treatment of Operational Risk Expected Losses (May 2002, proposing a framework for regulatory recognition of expected loss in operational risk.) Operational Risk Regulatory Approach Discussion Paper (September 2000, on incorporating qualitative factors into the regulatory treatment of Operational Risk.)
Survey on operational risk management practices	Unique, groundbreaking survey, published in January 2000. Covers the full range of issues including: definition, management structure, tools, insurance, reporting, capital, and future trends.	‘Operational Risk – The Next Frontier’, published jointly with BBA and RMA. Available from ISDA
Regulatory Papers	Various papers, primarily available from BIS web-site (http://www.bis.org)	To access presentations and papers distributed at the Conference organised by the Basel Committee's Risk Management Group on "Leading Edge Issues in Operational Risk Measurement" conference hosted by the Federal Reserve Bank of New York In May 2003, please click on the following URL. http://www.newyorkfed.org/newsevents/ events/banking/2003/con052903.html “Principles for the home-host recognition of AMA operational risk”, January 2004, Basel Committee Technical Paper. (Principles developed by Accord Implementation Group, jointly with Risk Management Group. Includes as annex proposed Basel Accord text.) Available at http://www.bis.org/publ/bcbs106.htm