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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)

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

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  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)

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