1 / 4

ISDA PRMIA Risk Management Seminar – Basel II and the Trading Book Review

ISDA PRMIA Risk Management Seminar – Basel II and the Trading Book Review. Ed Duncan, Head of Risk Management Policy, ISDA - October 9, 2007 -. Default risk in the Trading Book. The Basel / IOSCO working group “package” (2005) Various industry initiatives - ISDA LIBA IIF letter (Oct 2005)

andreas
Download Presentation

ISDA PRMIA Risk Management Seminar – Basel II and the Trading Book Review

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. ISDA PRMIA Risk Management Seminar – Basel II and the Trading Book Review Ed Duncan, Head of Risk Management Policy, ISDA - October 9, 2007 -

  2. Default risk in the Trading Book • The Basel / IOSCO working group “package” (2005) • Various industry initiatives - ISDA LIBA IIF letter (Oct 2005) - CS presentation in NYC - “strawman” principles document • Proposed principles for modeling IDRC (Jan 2006)

  3. Default risk in the Trading Book… • IIF ISDA LIBA note to regulators, methodological issues warrant further study • Basel / IOSCO / industry meeting in NYC (Sept 2006) • CS presentation – The Trading Book Default Charge (Nov 2006) • Fed Res presentation (FSI/IOSCO seminar) (Nov 2006)

  4. Default risk in the Trading Book… • ISDA IDR Working Group established, chaired by Eduardo Epperlein (Citi) • Industry technical paper on IDR (ISDA LIBA IIF, Jan 2007) • ISDA PRMIA seminar – Mike Gibson & Gary Dunn (Feb 2007) • Modeling Constant Level of Risk – DB ISDA PRMIA presentation (May 2007) • ISDA IDR Impact Study (July 2007) • Assessing the impact of IDR on reg cap (Citi, Sept 2007)

More Related