Modeling Credit Risk: Joint IIF/ISDA Testing Program
(Hardy Copy Only)

Modeling Credit Risk was jointly prepared by the Institute of International Finance and ISDA. The findings are based on studies of multiple modeling systems used by twenty-five commercial banks from ten countries for a range of different types of credit risk exposure. The study underscores the significance to banks in maximizing shareholder value of using advanced credit risk measurement tools such as models.

Trading Book Compendium 2005
(Electronics Copy Only)

The Trading Book Compendium 2005 collects in one place useful research pieces, letters and recommendations presented to the Basel/IOSCO Trading Book Review Group by ISDA, the IIF, LIBA and TBMA during the course of the Trading Book Review process, i.e. between June 2004 and June 2005.

This Compendium is intended as a complement to the 2004 Compendium published by ISDA, LIBA and TBMA. Taken together with the 2004 Compendium, it offers full and transparent access to documents which have had an impact on the regulators’ thinking and final decisions on the Trading Book Review.

Regulators and member firms will find this compendium a valuable reference going forward, and an aid in understanding and implementing the Review. Detailed information is notably provided on adjusting Expected Positive Exposure (EPE) for rollover risk, the sensitivity of the Alpha factor to wrong-way risk and the computation of maturity under an EPE based counterparty credit risk framework.

The Compendium 2005 is available from this website at a cost of $30. It must be purchased on-line.