Risk Management

ISDA’s Risk Management Team works with members, regulators and policy makers to develop rules which ensure that appropriate, prudent and risk sensitive capital charges are applied uniformly to the various financial risks faced by the industry. The group continually seeks to define best practice in each area and assist all stakeholders in achieving this.

Click here for additional and archived risk management materials.


DateTitle / DescriptionDocuments
September 18, 2017
Safeguarding Clearing: The Need for a Comprehensive CCP Recovery and Resolution Framework
Given the systemic importance of CCPs, it is vital that a strong resilience, recovery and resolution mechanism is in place. This paper makes a number of recommendations for a comprehensive CCP recovery and resolution framework that would ensure CCPs can withstand severe market stress.
Safeguarding clearing FINAL.pdf
July 13, 2017
ISDA/GFMA/IIF publish industry FRTB QIS analysis
ISDA, GFMA and IIF analysed data as of December 2016 submitted by 30 banks as part of the Fundamental Review of the Trading Book (FRTB) quantitative impact study (QIS). The industry analysis shows the new rules will result in market risk capital increasing between 1.6 and 2.5 times compared with current levels, depending on internal model approval for bank trading desks.
QIS 7 FRTB Refresh Report_Spotlight_FINAL.pdf
May 15, 2017
Briefing Note: The Impact of SA-CCR
A recent quantitative impact study completed by ISDA and FIS highlighted the potentially punitive impact of the Basel Committee’s standardised approach for measuring counterparty credit risk exposures. This briefing note outlines the key findings.
ISDA SA-CCR Briefing Paper - Final1.pdf
March 21, 2017
ISDA Letter to the BCBS on the Standardized Approach for Measuring Counterparty Credit Risk Exposures
Following the suggestion by the Basel Committee on Banking Supervision (BCBS) to ISDA to share industry views and inputs on the standardized approach for measuring counterparty credit risk exposures (SA-CCR), ISDA responded in a letter on March 20 highlighting its SA-CCR quantitative impact study findings and setting out suggestions for improved coherence and calibration of the SA-CCR framework.
ISDA Letter to the BCBS on SA-CCR - March 2017.pdf
March 20, 2017
CRD5: The Net Stable Funding Ratio
Following the Capital Requirements Directive (CRD) 5 legislative package proposed by the European Commission (EC) in November 2016, ISDA and AFME assessed the main aspects and the potential impacts of the Net Stable Funding Ratio (NSFR). The Industry highlights as NSFR impacts on important categories of transactions can be disproportionate and quantifies an implied burdensome amount of additional regulatory long term funding requirement (€4.5 trn according to a recent ISDA/AFME study)
net.pdf
March 20, 2017
CRD 5: Leverage Ratio – ISDA/AFME Position Paper
Following the Capital Requirements Directive (CRD) 5 legislative package proposed by the European Commission (EC) in November 2016, ISDA and AFME assessed the main aspects related to Leverage Ratio (LR). The industry supports introducing the LR as simple, transparent and non-risk-based backstop to the risk-based requirements and consistently with the Basel Committee on Banking Supervision’s (BCBS) agreed leverage framework
leverage-ratio.pdf
March 20, 2017
CRD5: The Capital Framework for Trading Activities (Market Risk)
Following the Capital Requirements Directive (CRD) 5 legislative package proposed by the European Commission (EC) in November 2016, ISDA and AFME assessed the main aspects and the potential impacts of the proposed Capital Framework for Trading Activities in line with the Fundamental Review of the Trading Book (FRTB). While the Industry is supportive of the trading book review which is an enhancement to the current framework, it considers crucial addressing a number of important design and calibration questions in order avoid a disproportionate and unjustified increase in capital requirements.
frtb-non-technical-paper.pdf
March 20, 2017
ISDA/AFME Position Paper CRD V/CRR II: Fundamental Review of the Trading Book
ISDA and AFME issue a Position Paper on the Fundamental Review of the Trading Book (FRTB) which serves as the basis for the market risk capital framework included in the Capital Requirement Directive (CRD) V legislative package proposed by the European Commission (EC) in November 2016. While the Industry is supportive of the introduction of the FRTB which aims at addressing structural shortcomings in Basel 2.5, it believes further calibration changes are required in certain areas and other methodological issues need to be appropriately addressed.
frtb-position-paper.pdf
March 17, 2017
ISDA/FIA/GFMA/IIF response to the FSB Consultative Document: Guidance on Central Counterparty Resolution and Resolution Planning
On March 13, ISDA responded jointly with the Futures Industry Association (FIA), the Global Financial Markets Association (GFMA) and the Institute of International Finance (IIF) on the FSB’s Consultative Document regarding Guidance on Central Counterparty Resolution and Resolution.
FSB Consultative Document - CCP Resolution - Final FIA-GFMA-IIF-ISDA Response.pdf
October 24, 2016
ISDA/FIA/GFMA/IIF/TCH response to the FSB Discussion Note on Essential Aspects of CCP Resolution Planning
On October 21, ISDA responded jointly with the Futures Industry Association (FIA), the Global Financial Markets Association (GFMA), the Institute of International Finance (IIF) and The Clearing House (TCH) on the FSB Discussion Note on Essential Aspects of CCP Resolution Planning.
FIA-GFMA-IIF-ISDA-TCH-Response-to-FSB-Discussion-Note-CCP-Resolution.pdf