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.

ISDA’s risk management activities encompass:

Committee Structure

How to Join

RISK MANAGEMENT WORKING GROUPS

REGIONS
RISK MANAGEMENT WORKING GROUPS
STATUS/DESCRIPTION
PORTAL ACCESS
CHAIR
STAFF CONTACT
Global Risk Management Committee DISTRIBUTION LIST Free, via ISDA PORTAL N/A David Murphy
dmurphy@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: vhookham@isda.org
Tom Wilde (Credit Suisse) David Murphy
dmurphy@isda.org
Global Incremental Risk Charge 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: vhookham@isda.org
Eduardo Epperlein (Citigroup) David Murphy
dmurphy@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: vhookham@isda.org
David Murphy (ISDA) David Murphy
dmurphy@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: vhookham@isda.org
N/A David Murphy
dmurphy@isda.org
Global Operational Risk Working Group DORMANT WORKING GROUP
The ORWG deals with Basel II operational risk implementation issues
invitation only N/A Richard Metcalfe
rmetcalfe@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: vhookham@isda.org
David Murphy (ISDA) David Murphy
dmurphy@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: vhookham@isda.org
N/A David Murphy
dmurphy@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: isdaap@isda.org

TBD

Cindy Leiw
cleiw@isda.org

Asia

Asia Counterparty Risk Working Group

ACTIVE WORKING GROUP
Formed in late January 2007

invitation only
Contact: isdaap@isda.org

TBD

Cindy Leiw
cleiw@isda.org

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

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BASEL ACCORD REFORM AND IMPLEMENTATION

SUBJECT
STATUS
AVAILABLE DOCUMENTS

Joint Association (ISDA/BBA/GFMA/IIF) response to the BCBS’s consultative document: Capitalization of bank exposures to central counterparties (“CCPs”)

Submitted on February 4, 2011

Joint Association response to consultation on capitalization of bank exposures to CCPs (February 4, 2011)

Joint Association (ISDA and AFME) response to the consultation on countercyclical buffers

Submitted on November 25, 2010

Joint Association Response to consultation on countercyclical buffers (November 25, 2010)

Joint Association (AFME, BBA and ISDA) Response to CEBS CP40 Consultation Paper on Guidelines to Article 122a of the Capital Requirements Directive

Joint Association (AFME, BBA and ISDA) Response to CEBS CP40.

Submitted on October 01, 2010

Joint Association Response to CEBS CP4 (October 1, 2010)

Joint Association (GFMA/ISDA) Response to Basel Committee’s Countercyclical Capital Buffer Proposal (BCBS 172). 

Joint Association (GFMA/ISDA) Response to Basel Committee’s Countercyclical Capital Buffer Proposal (BCBS 172). 

Submitted to Basel Committee on September 10, 2010

Joint Association Response to BSBS172 (September 10, 2010)

Joint Association Response to Basel Committee's Resilience (BCBS 164) and Liquidity Framework (BCBS 165) proposals

Joint Association (ISDA/BBA/GFMA) Response to Basel Committee's Resilience (BCBS 164) and Liquidity Framework (BCBS 165) proposals 

Submitted to Basel Committee on April 16, 2010

Joint Association Response to BCBS 164 and 165 proposals (April 16, 2010)
Joint Association Response to Capital Requirements Directive IV

Joint Association (ISDA/BBA/AFME) Response to Capital Requirements Directive IV

Submitted to European Commission on April 16, 2010

Joint Association Response to CRD IV (April 16, 2010)
Joint Association Response regarding Tranche protection trades

Joint Association (ISDA/BBA/AFME) Response regarding Tranche protection trades

Submitted to FSA on April 9, 2010

Joint Association Response regarding Tranche protection trades (April 9, 2010)

Joint Association Letter regarding proposed stress tests for the Correlation Trading Portfolio

Joint Association (ISDA/BBA/AFME) Letter regarding  proposed stress tests for the Correlation Trading Portfolio

Submitted to Basel Committee on Banking Supervision on March 31, 2010

Joint Association Letter regarding proposed stress tests for the Correlation Trading Portfolio (March 31, 2010)
ISDA Response to the Turner Review and DP 09 2

ISDA Response to The Turner Review: “A regulatory response to the global banking crisis” & Discussion Paper 09/2: “A regulatory response to the global banking crisis”
Submitted to FSA on June 18, 2009

ISDA Response to the Turner Review and DP 09 2 (June 18, 2009)
Joint Association (ISDA, LIBA, EBF, ESF) response to the EU Commission Services Working Document on proposed changes to the Capital Requirements Directive Submitted to Director Elemér Tertak, European Commission, on April 29, 2009 Joint Association response to the EU Commission Services Working Document on proposed changes to the Capital Requirements Directive

Joint Association (IBFED, ISDA, LIBA, ESF) response to Basel Committee on BCBS 150 - Proposed enhancement to the Basel II framework

Submitted to Basel Committee on Banking Supervision on April 22, 2009

(Covering letter) (Response)

Joint Association (ISDA, LIBA, IBFed) response to “Principles for sound stress testing practices and supervision” (CP147) Submitted to Klaas Knot, Basel Committee on March 13, 2009 Joint Association response to “Principles for sound stress testing practices and supervision” (CP147)
Joint Association (ISDA, IIF, LIBA, IBFed) response to “Revisions to the Basel II market risk framework" (BCBS 148) and "Guidelines for computing capital for incremental risk in the trading book" (BCBS 149)

Submitted to Basel Committee on March 13, 2009

Joint association industry response trading book capital (BCBS 148 and 149)

Joint Association (ISDA, LIBA, BBA) response to the UK FSA's CP 08 22 on "Strengthening Liquidity Standards"

Submitted to FSA on March 5, 2009 Joint Association response to the UK FSA's CP 08 22 on "Strengthening Liquidity Standards"
Joint Trade Associations' (BBA, ISDA and LIBA) response to CEBS's Technical Advice on Liquidity Risk Management (CP19) Submitted to CEBS on July 30, 2008 Joint Trade Associations' response to CEBS's Technical Advice on Liquidity Risk Management (CP19)
Joint Trade Associations' (BBA, ISDA and LIBA) response to Basel's Principles for Sound Liquidity Risk Management and Supervision Submitted to Basel Committee on Banking Supervision on July 30, 2008 Joint Trade Associations' response to Basel's Principles for Sound Liquidity Risk Management and Supervision
Joint Trade Association letter (BBA, LIBA, ISDA, CMSA-Europe, IACPM, EBF, SIFMA, and the ESF) with regard to the European Commission Service’s alternative proposal to amend the Capital Requirements Directive (CRD) to address incentives in the “originate-to-distribute” (OTD) model Submitted to Commissioner McCreevy (European Commission), cc-ing Member States, EU Commissioners, and Commission Services, on July 16, 2008 Joint Trade Association letter with regard to the European Commission Service’s alternative proposal to amend the Capital Requirements Directive (CRD) to address incentives in the “originate-to-distribute” (OTD) model
Joint Association response to the EU Commission on proposed amendments to the Capital Requirements Directive Submitted to European Commission on June 10, 2008 Cover Letter, Executive Summary, Technical Amendments, Hybrid Capital Instruments, Large Exposures, Securitisation, Supervisory Arrangements
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)

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COUNTERPARTY RISK

SUBJECT
STATUS
AVAILABLE DOCUMENTS

Joint response (AFME/BBA/ISDA) to EC consultation on capitalisation of bank exposures to central counterparties and treatment of incurred credit valuation adjustments

Submitted to the EC, 4th March 2011

Joint response to EC consultation on capitalisation of bank exposures to CCPs

Sound Practices for Backtesting CCR Models ISDA/AFME comment submitted 31st May 2010 Backtesting CCR models response
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.
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)

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INCREMENTAL RISK CHARGE TECHNICAL WORKING GROUP

SUBJECT
STATUS
AVAILABLE DOCUMENTS

Joint Association response to the Basel Consultation papers on “Proposed revisions to the Basel II market risk framework” and “Guidelines for Computing Capital for Incremental Risk in the Trading Book”

Submitted to Basel Committee on 24 October, 2008 Joint Association response to the Basel Consultation papers
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

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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 -

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INTERNAL RATINGS

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 99.5th 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)

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OPERATIONAL RISK

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

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CONVERGENCE OF ECONOMIC CAPITAL MODELS PROJECT

SUBJECT
STATUS
AVAILABLE DOCUMENTS
Convergence of Economic Capital Models
Joint ISDA-IACPM study completed February 2006 ISDA-IACPM Convergence of Credit Capital Models Project: Summary of Results
2002 Survey of Credit Portfolio Management Practices Survey conducted by Rutter Associates and sponsored jointly by ISDA, IACPM, and RMA. 2002 CPM Survey results
Portfolio modeling of credit risk ISDA and the Institute of International Finance tested portfolio models against standard portfolios Modeling credit risk Joint IIF/ISDA Testing Programme (February 2000) Available from ISDA (‘Documentation’ section of the website)
Credit Risk Modeling The Basel Committee issued a consultative document in May 1999, to which ISDA responded in October.  ISDA met with the Models Task Force to discuss the paper and got positive feedback *Basel paper on credit risk modeling (May 1999)

*ISDA’s response (October 1999)

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COMMODITY FIRMS REGULATORY CAPITAL TREATMENT

SUBJECT
STATUS
AVAILABLE DOCUMENTS
ISDA-EFET-FOA response to second part of CEBS Technical Advice to the European Commission on the Review of Commodities Business under Article 48 of Directive 2006/49/EC The Commodity Firms Regulatory Capital Working Group (CFRC WG) response to second part of CEBS Technical Advice to the European Commission on the Review of Commodities Business under Article 48 of Directive 2006/49/EC
CFRC WG response to CEBS (August 1, 2007)
ISDA-FOA-EFET paper on an Alternative Approach to the Application of the full Capital Requirements Directive to Commodity Firms active in the EU The Commodity Firms Regulatory Capital Working Group (CFRC WG) proposes an alternative approach to the application of the full Capital Requirements Directive (CRD) to specialist commodity firms in the EU
Alternative Approach paper, May 8, 2007
CFRC WG meeting, March 28, 2007 Agenda included Update on various regulatory meetings (including minor revisions to the AA paper), Discussion on the draft response to questions 7 and 10 to 15 of the Call for Evidence, Position of the Associations on the Call for Evidence and Liaison with the press CFRC Minutes (March 28, 2007)
ISDA-EFET-FOA Workshop for the European Commission regarding commodity markets and trading, September 28-29, 2006, Brussels ISDA, EFET and FOA ran a 2-day workshop for the European Commission regarding different commodity markets and their financial and physical regulation Peter Styles - EU Commodity Markets and Trading: An Introductory Workshop
  1. Stefan Judisch - General Overview of the European commodity markets
  2. Juan Alba - Power Market and Trading
  3. Bart Pycke - Gas Market and Trading
  4. Mine Bolgil - Oil Markets and Trading
  5. Lars Wlecke - Coal Market and Trading
  6. Jan Peter Onstwedder - Risk Management in Commodity Markets
  7. Martin Squires - Metal Market and Trading
  8. James Pointon - EU Commodity Markets & Trading Exotic Derivatives
  9. Peter Styles - Liberalisation of European Internal Energy Market Power
  10. Matthias Durr - Liberalisation of European Internal Energy Market Power
  11. Colin Lyle - Liberalisation of the European Internal Energy Market - Gas
  12. Barton & Bates - Impact on Commodities Business
  13. Horstmann & Sebton - Capital Requirements Directive Key elements
  14. Lynn Johansen - Alternative Approaches for Financial Market Supervision
The eighth CFRC WG Meeting, September 22, 2006 Agenda included Update on CEBS/CESR reviews; Commission Workshop 27-28 September, Alternative Approach, Recalibrated Pillar I, Update on KPMG report, Liaison with Press. CFRC WG Notes of the eighth meeting (September 22, 2006)
(Password Protected - CFRC WG Only)
CFRC WG’s proposal for a revised industry questionnaire Sent to CEBS July 19, 2006 CEBS questionnaire revised (July 18, 2006)
The seventh CFRC WG Meeting, July 14, 2006 Agenda included Interaction between MiFID and CRD reviews, CEBS Update, Recalibrated Pillar 1 Update, Alternative Approach Update and KPMG report

CFRC WG Notes of the seventh meeting (July 14, 2006)

Draft of the Commodity Derivatives Working Group - MiFID commodity exemptions review Straw man (July 19, 2006)

Regulation of the Derivatives Market booklet issued by the Quebec Financial Markets Authority (May 1, 2006)

The sixth CFRC WG Meeting, May 11, 2006 Agenda included a Stock take on the expert groups' progress and the KPMG survey CFRC WG Notes of the sixth meeting (May 11, 2006)
(Password Protected - CFRC WG Only)

Capital Review Update presentation (May 11, 2006)
(Password Protected - CFRC WG Only)

KPMG Survey - Impact of the CRD on Commodity Market Participants (May 11, 2006)
(Password Protected - CFRC WG Only)
The fifth CFRC WG Meeting, March 10, 2006 Agenda included an Update on the meeting with the European Commission of 30 January; Nomination of a commodity firm representative on the CEBS Consultative Panel; Position of investment banks re CFRC WG work agenda; Progress report on credit/market risk; Pillar 2 Expert group; BaFin and FSA consultations on the implementation of articles 45a and 45d of the CAD
CFRC WG Notes of the fifth meeting (March 10, 2006)
Market Risk presentation by Tobias Strothmann, Conenergy and Martin Spanier, Syneco, March 8, 2006 Market Risk Expert sub-group presentation showing current status Market Risk presentation (March 8, 2006)
(Password Protected - CFRC WG Only)
European Regulatory Committee working group on commodity derivatives and other derivatives under C10 of Annex I to MiFID - Terms of reference and participant list
A new working group set up by Gianluigi Gugliotta, ISDA to discuss MiFID exemptions

ERC Commodity Derivatives working group - Terms of Reference, March 2006

Commodity Derivatives Working group - participant list, March 2006

CFRC Working Group's letter to Peter Smith, European Commission Letter addresses issues surrounding the European Commission's Review of regulatory capital treatment of commodity firms CFRC WG Letter to European Commission, January 27, 2006
The fourth CFRC WG Meeting, January 18, 2006 Agenda included discussion of the CFRC WG letter to European Commission; Establishment of a new sub-group on a qualitative risk management approach; Presentation of the expert groups’ work; and a report on a meeting of the FSA’s COMSG sub-group on consolidation CFRC WG Notes of the fourth meeting (January 18, 2006)
(Password Protected - CFRC WG Only)

Presentation by Tobias Strothmann, ConEnergy
(Password Protected - CFRC WG Only)

Presentation by Martin Spanier, Syneco
(Password Protected - CFRC WG Only)

Presentation on Commodities and the Capital Requirements Directive, prepared by ISDA Presented at a Workshop organized by RWE on the Internal Market for Wholesale Trading in Electricity and Gas, Dec 2005 RWE Workshop Presentation, Dec 2005
The third CFRC WG Meeting, November 23, 2005 Agenda included the discussion of a slide presentation prepared by ISDA.

CFRC WG Notes of the third meeting (November 23, 2005) (Password Protected – CFRC WG Only)

Applicability and calibration of the CRD for commodity firms, presentation by ISDA

Monte Carlo simulation for assessing the market risk of a portfolio of commodity derivatives An example simulation prepared by ISDA Monte Carlo simulation
Commodity firms’ survey on counterparty credit risk measurement A questionnaire prepared for members of the CFRC WG by ISDA, to be completed by 30 November 2005 Questionnaire on credit risk and exposure measurement, November 2005
The second CFRC WG Meeting, October 19, 2005 Agenda included discussion of CRD Article 45d and a presentation from Hunton & Williams re Regulation of “Specialist Commodity Dealers” in the United States; discussion on scope of capital treatment led by Clifford Chance; update on co-operation with KPMG; Hypothetical Portfolio testing.
CFRC WG Notes of second meeting (October 19, 2005);

Article 45d;

Regulation of “Specialist Commodity Dealers” in the United States, Hunton & Williams presentation (October 19, 2005);

Scope of capital treatment, Clifford Chance (October 19, 2005)
The first CFRC WG Meeting, September 15, 2005 Agenda included a presentation from UK FSA regarding their Commodity Standing Group; a presentation from Clifford Chance on MiFID and CRD; Associations' activities in regulatory capital advocacy; discussion of CFRC WG Terms of Reference

CFRC WG Notes of first meeting (September 15, 2005)

Commodity Standing Group, UK FSA presentation

MiFID: Interaction with the CRD, Clifford Chance presentation (September, 2005)

Investment Firms’ Statutory Requirements in France, presentation by Arnaud Cruiziat (Gaselys) Abstract of Banque de France Regulatory Requirements Investment Firms’ Statutory Requirements in France, September 2005
Compendium on the Capital Treatment of Commodity Firms active in the EU
Prepared by the Joint Industry Associations’ Working Group on Commodity Firms’ Regulatory Capital Treatment (CFRC WG) (EFET – FOA - ISDA – LIBA – Energy Commodities Traders Group)
CFRC WG Compendium, September 2005
Terms of reference of the Joint Associations’ Working Group on Commodity Firms’ Regulatory Capital Treatment (CFRC Working Group) Prepared by EFET; FOA; ISDA; Energy Commodities Traders Group; [LIBA] CFRC Working Group - Terms of Reference (September 16, 2005)

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NPR WORKING GROUP

SUBJECT
STATUS
AVAILABLE DOCUMENTS
Joint industry comment on the US Basel II Notice of Proposed Rulemaking (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)

Basel II NPR (Federal Register)

Extension of comment period (FR)

Joint industry comment on the US Market Risk Notice of Proposed Rulemaking (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)

Market Risk NPR (Federal Register)


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

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RISK MANAGEMENT SEMINARS

The ISDA Risk management events are periodically held presentations where we invite speakers from the academic, the regulatory or the business side to present and discuss Risk Management topics that are at the forefront of Risk Management. These seminars provide useful updates on industry best practice and research in the field of risk management.

The presentations in the form of lunches in New York, and evening events in London are meant to gather Risk Management professionals from various industries around these topics.

For more information please contact:
NY: Julia Pachos, jpachos@isda.org
London: Victoria Hookham, vhookham@isda.org

2010
European Program

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 2010 are as follows:-
DATE
TITLE
SPEAKER
PRESENTATION

January 12, 2010

It’s all about Change

Simon Tweddle, Mizuho International
Paul Beach, FSA

Slides by Simon Tweddle 12 Jan 10

February 9, 2010

The story of a man in a rowing boat trying to slow down an oil tanker Paul Moore, Moore, Carter & Associates Slides by Paul Moore 9 Feb 10

March 8, 2010

Proposed changes to Counterparty Credit Risk in Basel Accord Maxine Nelson, FSA Slides by Maxine Nelson 8 Mar 10

March 25, 2010

Avoiding the Icelandic crisis: The checks and balances in Asia's banking system today Emmanuel Daniel, The Asian Banker Slides by Emmanuel Daniel 25 Mar 10

April 13, 2010

Liquidity Management – Where Next? Martyn Hoccom, RBS Slides by Martyn Hoccom 13 Apr 10

May 4, 2010

CRD 3 and beyond -  How are you left? Simon Hills, British Bankers Association Slides by Simon Hills 4 May 10

June 15, 2010

Managing Risk in a Fund of Hedge Funds post 2008 – A Personal Perspective Bernard Minsky, IAM

Slides by Bernard Minsky 15 Jun 10

2009
European Program

DATE
TITLE
SPEAKER
PRESENTATION

December 1, 2009

CANCELLED    

November 10, 2009

Have the last few years’ IASB/FASB Standards fueled or dampened the market crisis

Robert Johns, PwC
Andy Stalmanis, Lloyds Banking
Richard Thorpe, FSA

To be posted after the seminar

October 13, 2009

The Banking Crisis – How Did We Get Here and Where Do We Go From Here David Llewellyn, Loughborough University Slides by David Llewellyn 13 Oct 09

September 8, 2009

CANCELLED    

August 11, 2009

Challenges in Buy Side Risk Management Steve Farrall, Schroders

Slides by Steve Farrall, Schroders 11 Aug 09

July 14, 2009

CANCELLED    

June 9, 2009

CANCELLED    

May 12, 2009

Current Issues Affecting the OTC Derivatives Market and its Importance to London Lynton Jones, Bourse Consult, on behalf of the City of London Corporation Slides by Lynton Jones 12 May 09

April 14, 2009

A Proposal for a Coherent Aggregation of Stress Tests and Scenario Analyses Riccardo Rebonato, Royal Bank of Scotland Slides by Riccardo Rebonato 14 Apr 09

March 10, 2009

Likely future developments of the crunch & early takeaways Ben Ashby, JP Morgan None available

February 10, 2009

Stress and scenario testing (CP 08/24) Rory Vaughan, FSA Slides by Rory Vaughan 10 Feb 09

January 13, 2009

Basel II - where to now? Andrew Jennings, Citi Slides by Andrew Jennings 13 Jan 09

 

2008
European Program

DATE
TITLE
SPEAKER
PRESENTATION
December 2, 2008 To Pray or be Preyed Upon Bob Scanlon, Standard Chartered Bank None available
November 11, 2008 Buy Side versus Sell Side Risk Management Philip Best, Threadneedle Asset Management Slides by Philip Best 11 Nov 08
October 14, 2008 CANCELLED    
August 12, 2008 Designing and Building a scaleable Market Risk Infrastructure  Gavin Slater, Barclays Capital  Slides by Gavin Slater 12 Aug 08
September 9, 2008 CANCELLED    
July 8, 2008 Risk and Risk-Sharing: Pensions, Insurance and Solvency 2 Con Keating, BrightonRock Group  Slides by  Con Keating 8 July 08
June 10, 2008 The Liquidity Crunch : Causes and Consequences Martyn Hoccom, Lloyds TSB  Slides by Martyn Hoccom 10 June 08

2007
European Program

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

2007
Asia-Pacific Program

DATE
TITLE
SPEAKER
PRESENTATION
January 29, 2007
Counterparty Credit Risk Measurement under Basel II

Ms Emmanuelle Sebton, ISDA European Office

Slide by Ms Emmanuelle Sebton, 29 Jan 07
January 31, 2007 Counterparty Credit Risk Measurement under Basel II
Ms Emmanuelle Sebton, ISDA European Office
Slide by Ms Emmanuelle Sebton, 31 Jan 07

2006
European Program

DATE
TITLE
SPEAKER
PRESENTATION
December 5, 2006 CANCELLED    
November 14, 2006 Value Added Risk Management in a complex organisation – from principle to application Kadita Tshibaka & Tim Cooke, Lloyds TSB Slides by Kadita Tshibaka 14 Nov 06

Slides by Tim Cooke 14 Nov 06
October 17, 2006 Getting on the Property Derivatives Ladder Tom Frost, Deutsche Bank Please contact vhookham@isda.org for further information
September 19, 2006 The common implementation and consistent application of the Capital Requirements Directive (CRD) across Europe Helmut Baeur, Federal Financial Supervisory Authority and Committee of European Banking Supervisors (CEBS) Slides by Helmut Baeur 19 Sep 06
August 8, 2006 Past and Future of liquidity risk management. A regulatory perspective Vincent Baritsch, Financial Services Authority Slides by Vincent Baritsch 08 Aug 06
July 11, 2006 Credit Derivatives reference to Leveraged Loans – Key issues and aspects Brand Richey, Barclays Capital Slides by Brand Richey 11 July 06
June 13, 2006 The Changing Nature of Risk Management for Asset Managers Neil Brown, Notewell Associates Slides by Neil Brown 13 June 06
May 16, 2006 Managing Risk at the UK's largest Friendly Society Alistair Smith, Liverpool Victoria Friendly Society Slides by Alistair Smith 16 May 06
April 11, 2006 The large exposures rules - time for a review Gerry Cross, FSA Slides by Gerry Cross, FSA 11 April 06
March 14, 2006 The IRB “waiver” application process in the UK Uttiyo Dasgupta, HSBC Not available
February 7, 2006 Do Banks really need Pillar 1 IRB Compliance Alistair Milne, CASS Business School Slides by Alistair Milne 07 Feb 06
January 17, 2006 Risk Management of Defined Benefits Pension Plans Jon Spain, Government’s Actuary Department & Con Keating, Finance Development Centre

Slides by Jon Spain 17 Jan 06

Slides by Con Keating 17 Jan 06

2006
North American Program

DATE
TITLE
SPEAKER
PRESENTATION
July 18, 2006
Convergence of Credit Capital Models
Michel Araten, JP Morgan Chase

IACPM-ISDA White Paper

Presentation slides

2006
Asia-Pacific Program

DATE
TITLE
SPEAKER
PRESENTATION
November 2, 2006
Update on International Operational Risk Management Development
Mr Richard Metcalfe, ISDA European Office
Slide by Mr Richard Metcalfe, 2 Nov 06


2005
European Program

DATE
TITLE
SPEAKER
PRESENTATION
December 13, 2005 The World at Risk Steve Fowler, Institute of Risk Management - Slides by Steve Fowler 13 Dec 05
November 15, 2005 Uses and Misuses of Required Economic Capital Brian Dvorak, Moodys KMV - Slides by Brian Dvorak 15 Nov 05
October 18, 2005 Vicariously managing risk from Hedge Funds Stu Bohart, Morgan Stanley & Philippe Riachi, Morgan Stanley Not Available
September 21, 2005 Fitch's view on hybrid capital and preferred securities Damir Bettini, Fitch Ratings - Slides by Damir Bettini 21 Sep 05
August 16, 2005 Operational Risk – A Storm is coming Andrew Smith, HBOS - Slides by Andrew Smith 16 Aug 05
July 19, 2005 Ideas on Risk Reporting: Risk Topography and Risk Radar Kan Ahluwalia, Bear Stearns - Slides by Kan Ahluwalia 19 July 05
June 14, 2005 Risk Managers – are they value adding, irrelevant or downright dangerous? Carol Sergeant, Lloyds TSB Not Available
May 17, 2005 CEBS achievements to date Kerstin af Jochnick, CEBS - Slides by Kerstin Jochnick 17 May 05
April 19, 2005 Who needs Operational Risk David Gibbs, VOCA Limited (formerly BACS) - Slides by David Gibbs 19 April 05
March 7, 2005 Operational Risk: A Multi-Layered Problem David Rowe, (Sungard) plus panel consisting of Oscar McCarthy (Lloyds TSB) & David Millar (Consultant) - Slides by David Rowe 07 Mar 05
February 15, 2005 CANCELLED    
January 18, 2005 Assessing and Measuring Operational Risk Ali Samad-Khan, OpRisk Advisory LLC - Slides by Ali Samad-Khan 01 Jan 05

2004
European Program


DATE
TITLE
SPEAKER
PRESENTATION
December 7, 2004 CANCELLED    
November 16, 2004 The Market For Inflation Derivatives - Development And Application Julian Tams Presentation available to ISDA members on request from vhookham@isda.org
October 13, 2004 Risk Management - The view from Lloyds Andrew Gurney - Slides by Andrew Gurney 13 Oct 04
September 14, 2004 Translating Basel into Brussels Patrick Pearson - Slides by Patrick Pearson 14 Sep 04
August 17, 2004 Making Sense out of Metrics Michael Finlay - Slides by Michael Finlay 17 Aug 04
July 13, 2004 Achieving a Singular View of Trading Operations Worldwide Pascal Emile - Slides by Pascal Emile 13 July 04
June 15, 2004 Management of credit risks within a trading environment Craig MacDougall - Slides by Craig MacDougall 15 June 04
May 18, 2004 Avoiding Default: New Techniques for Managing Credit Risk Jean-Martin Aussant - Slides by Jean-Martin Aussant 18 May 04
April 13, 2004 Reducing economic capital through securitisation Michael Dickinson - Slides by Michael Dickinson 13 April 04
March 16, 2004 Diversification Between Different Risk Types: Understanding the Importance & Examining the Latest Techniques Sebastian Fritz - Slides by Sebastian Fritz 16 March 04
February 17, 2004 ISDA Counterparty Risk Notes on "alpha" Juan Grana - Slides by Juan Grana 17 Feb 04
January 21, 2004 An update on recent developments in Basel 2: distinguishing between expected and unexpected loss Paul Sharma No presentation slides given

2004
Asia-Pacific Program

DATE
TITLE
SPEAKER
PRESENTATION
July 23, 2004
Enterprise Risk Management: Beyond Regulatory and Governance Standards
Mr James Lam

- Slide by Mr James Lam, 23 July 04
July 15, 2004 Basel II - the end of the tunnel? Mr Chris Matten - Slide by Mr Chris Matten, 15 July 04
June 8, 2004
Synthetic CDOs: Industry Trends in Analytical and Modeling Techniques
Mr Lawrence R. Dunn
- Slide by Mr Lawrence R. Dunn, 8 June 04
May 14, 2004
Credit Portfolio Management Mr Otbert de Jong - Slide by Mr Otbert de Jong, 14 May 04
April 20, 2004 Credit Derivatives & Credit-Linked Structured Products Mr Lee How Chih - Slide by Mr Lee How Chih, 20 April 04
March 17, 2004 Credit & Market Risk Stress Testing Dr Khoo Guan Seng - Slide by Dr Khoo Guan Seng, 17 Mar 04
February 11, 2004
Asia Pacific Loss Given Default Study & ISDA’s Risk Management Initiatives
Mr Chiang Kheng Hong
- Slide by Mr Chiang Kheng Hong, 11 Feb 04
January 07, 2004 Restructuring in Credit Default Swaps Kazuyasu Makabe - Slide by Kazuyasu Makabe, 7 Jan 04
THIS PRESENTATION IS THE PROPERTY OF JPMORGAN. IT MAY BE DOWNLOADED FOR PERSONAL OR INDIVIDUAL USE ONLY. IT MAY NOT BE DISSEMINATED OR REPRODUCED OTHERWISE WITHOUT THE PRIOR CONSENT OF JPMORGAN.

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2003
North American Program

DATE
TITLE
SPEAKER
PRESENTATION
December 08, 2003
Model Validation and Construction with Application to Recovery Modeling Craig Friedman - Slides by Craig Friedman 08 Dec 03, References
September 25, 2003 Dealing with Double Default under Basel II Erik Heitfield (Slides, Paper) by Erik Heitfield 25 Sep 03
June 19, 2003 Challenges in Validation: Taking the Study Findings Forward A Corporate Perspective Lyn McGowan - Slides by Lyn McGowan 19 June 03
February 14, 2003 Default correlation: empirical evidence Olivier Renault - Slides by Olivier Renault 12 Feb 03

2003
European Program

DATE
TITLE
SPEAKER
PRESENTATION
December 10, 2003
Risk Year in Review Dale Nolan, Craig MacDougall, Andy Fishman, Ed Duncan Panel Discussion
November 12, 2003 What is Risk Management? Andrew Smith Slides by Andrew Smith 12 Nov 03
October 15, 2003 Problems of Credit - Pricing and Portfolio Management Con Keating Slides by Con Keating 15 Oct 03
September 17, 2003 A New Regime for Derivatives Accounting Charlotte Jones, Alex Brougham and Sue Harding -Slides by Charlotte Jones, Alex Brougham and Sue Harding 17 Sept 03
August 13, 2003 Collateral: Transforming Counterparty Risk Into Legal and Operational Risks Robert McWilliam PRIMA ISDA 13 Aug 2003
July 16, 2003 The relationship between Pension Assets and Liabilities Cliff Speed -Slides by Cliff Speed 16 July 03
June 18, 2003 Legal Risk Dermot Turing - Slides by Dermot Turing 18 June 03
May 14, 2003 The Risks of Portfolios of Hedge Funds Drago Indjic - Slides by Drago Indjic 14 May 03
April 16, 2003 Operational Risk for Asset Managers Bruce Offergelt - Slides by Bruce Offergelt 16 April 03
April 16, 2003 Operational Risk and its impact on the Fund & Investment Management Industry Angelos Deftereos - Slides by Angelos Deftereos 16 April 03
April 16, 2003 Developments in Operational Risk Management Neil Brown - Slides by Neil Brown 16 April 03
March 18, 2003 Operational Risk: An Assessment of Global Market Practices Bradley Ziff - Slides by Bradley Ziff 18 March 03
February 20, 2003 Measuring Hedge Fund Risk Bernard Minsky and Graham Jung - Slides by Bernard Minsky and Graham Jung 20 Feb 03
January 15, 2003 Current and Future Trends in Risk Systems John Wisbey, David Welton, Brad Impey, Hugh Stewart, Mamdouh Barakat Panel Discussion

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2002
North American Program

DATE
TITLE
SPEAKER
PRESENTATION
January 11, 2002
Analyzing and Explaining Default Recovery Rates Edward I. Altman - Paper by Edward I. Altman et al. - 11 Jan 02
February 12, 2002 The Components of Corporate Credit Spreads Robert Geske Paper by Delianedis and Geske and Handout tables
March 21, 2002 Hybrid Contingent Claims Models: A Practical Approach to Modeling Default Risk Sean Keenan and Jorge Sobehart - Slides by Sean Keenan and Jorge Sobehart - 21 Mar 02
May 6, 2002 The Perception of Time, Risk and Return During Periods of Speculation Emanuel Derman Paper by Emanuel Derman - 06 May 02

2002
European Program

DATE
TITLE
SPEAKER
PRESENTATION
February 13, 2002
A universal performance measure Con Keating - Paper by Con Keating - 13 Feb 02 and Tables
March 13, 2002 Dinosaurs in a Porfolio Mark Freydefont - Slides by Mark Freydefont 13 Mar 02
April 10, 2002 Operational Risk in E Trading David Wood - Slides by David Wood 10 April 02
May 15, 2002 No Surprises - Combating Rogue Trading Geoff Kates -Slides by Geoff Kates 15 May 02
June 12, 2002 Operational Risk on Everyone's Desk - The RADAR System Jonathan Howitt -Slides by Jonathan Howitt 12 June 02
July 10, 2002 Legal Risks on Derivatives "What's Hot What's Not" Carolyn Jackson -Slides by Carolyn Jackson - 10 July 02
August 14, 2002 Counterparty Due Diligence Craig MacDougall -Slides by Craig MacDougall 14 Aug 02
September 10, 2002 The Practical Implications of Implementing Basel II   Panel Discussion
October 14, 2002 Correlation Arnaud de Servigny of Standard and Poor -Slides by Arnaud de Servigny 14 Oct 02
November 13, 2002 The Art of Creating Value from the Intangible? Craig Kersey -Slides by Craig Kersey 13 Nov 02
December 2002 Market Risk Management of Investment Portfolios Riccardo Rebonato -Slides by Riccardo Rebonato Dec 02
December 2002 Real-World Evolution of the Yield Curve Riccardo Rebonato -Slides by Riccardo Rebonato Dec 02

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2001
North American Program


DATE
TITLE
SPEAKER
PRESENTATION
February 2, 2001
The new Basel Capital Accord (part1) Darryll Hendricks - Presentation slides by Darryll Hendricks - 02 Feb 01
February 9, 2001 The new Basel Capital Accord (part2) Darryll Hendricks - Presentation slides by Darryll Hendricks - 02 Feb 01
March 27, 2001 Credit Portfolio Management: Current State of Practice Charles Smithson - Presentation slides by Charles Smithson - 27 March 01
May 9th, 2001 ISDA comments on Basel: Internal Ratings Based approach Dennis Oakley - Adam Gilbert  
November 9, 2001 The Impact of September 11 on the Credit Markets and Recent Changes to the Credit Derivatives Documentation Hilmar Schaumann - Presentation slides by Hilmar Schaumann - 09 Nov 01

2001
European Program


DATE
TITLE
SPEAKER
PRESENTATION
January 24, 2001
Pricing and Hedging Derivatives, How Save is Industry Standard Practice? Bill Shadwick - Presentation slides by Bill Shadwick - 24 Jan 01
February 2001 Banking and Trading Book Integrated Risk Management David Brathwaite Bill Collette - Presentation slides by David Brathwaite and Bill Collette - Feb 01
March 14, 2001 Integrated Risk Management Hans Christian Bryn - Presentation slides by Hans Christian Bryn - 14 March 01
April 18, 2001 Basel’s consultation process: What’s emerging? Stephen Bland - Presentation slides by Stephen Bland - 18 April 01
May 16, 2001 Managing Risk in International Business Ephraim Clark - Presentation slides by Ephraim Clark - 16 May 01
June 13, 2001 Valuation of Weather Derivatives Jurgen Gaiser-Porter - Presentation slides by Jurgen Gaiser-Porter - 13 June 01
July 18, 2001 Risk Management for the Collateral Portfolio Penny Davenport - Presentation slides by Penny Davenport - 18 July 01
August 8, 2001 Overview and Implications of FAS 133 Ira G. Kawaller - Presentation slides by Ira G. Kawaller - 8 Aug 01
September 10, 2001 Bayesian Methods for Measuring and Managing Operational Risks Carol Alexander - Presentation slides by Carol Alexander - 10 Sep 01
November 14, 2001 Modeling the Default Risk of Unlisted Firms Stephen Kealhofer and Brian Dvorak - Presentation slides by Stephen Kealhofer and Brian Dvorak - 14 Nov 01
December 19, 2001 Views from the dark side Bill Martin - Presentation slides by Bill Martin - 19 Dec 01

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2000
North American Program

DATE
TITLE
SPEAKER
PRESENTATION
March 29, 2000
Integrating Market and Credit Risk – Why is It So Hard Elizabeth Ruml  
April 12, 2000 Internal Ratings William Treacy, Federal Reserve System  
May 10, 2000 Insurance Risk David Tyson, Travelers  
June 15, 2000 Modeling of Default Risk Corrine Neale, Financial Systems  
September 29, 2000 A Regulatory Capital Perspective on the Integration of Market and Credit Risk Bob Mark, CIBC; Michel Crouhy, CIBC  
November 14, 2000 Extreme Value Theory: A useful framework for modeling extreme Operational Risk Events Marcelo Cruz, UBSW - Presentation slides by Marcelo Cruz - 14 Nov

2000
European Program


DATE
TITLE
SPEAKER
PRESENTATION
February 21, 2000
Operational risk Richard Metcalfe, ISDA & David Glittelson, PricewaterhouseCoopers  
March 10, 2000 Credit and market risk modeling Speaker: Ludger Overbeck, Deutsche Bank  
July 7, 2000 Liquidity – The Risk Con Keating  
September 20, 2000 Extreme Value Theory: A useful framework for modeling extreme OR events Marcelo Cruz - Presentation slides by Marcelo Cruz 20 Sep
October 30, 2000 A New Approach to EDF Validation Corinne Neale, Financial Systems - Presentation slides by Corinne Neale - 30 Oct
November 14, 2000 Issues for consideration in a credit model world Bob Scanlon, CSFB - Presentation slides by Bob Scanlon - 14 Nov
December 15, 2000 The Basel Review Daniele Nouy, BIS - Presentation slides by Daniele Nouy - 15 Dec
December 15, 2000 Risk, Regulatory Capital and Capital Management Tim Shepheard-Walwyn - Presentation slides by Tim Shepheard-Walwyn - 15 DEC

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  Last Update: March 4, 2011