Trading Book Compendium 2005

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.

Trading Book Compendium 2004

The Compendium 2004 is free, and can also be downloaded from this website.

Please allow sufficient time for downloading these documents. Both Compendia are approximately 200 pages in length.