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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

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
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)
default risk in the trading book1
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)
default risk in the trading book2
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)