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
April 18, 2016
ISDA/GFMA/IIF publish industry FRTB QIS analysis
On April 18, ISDA, GFMA and IIF published key findings from an updated quantitative impact study (QIS) based on the final Fundamental Review of the Trading Book (FRTB) rules. The industry analysis, based on data from 21 banks, shows the new rules will result in market risk capital increasing between 1.5 and 2.4 times compared with current levels, depending on internal model approval for bank trading desks.
QIS4 2015  FRTB Refresh Report_Spotlight__FINAL.pdf
March 14, 2016
ISDA/AFME respond to EBA consultation on internal models for market risk
On March 11, 2016, ISDA responded jointly with the Association for Financial Markets in Europe (AFME) to the European Banking Authority (EBA) consultation on assessment methodology on the use of internal models for market risk. The ISDA/AFME response notes the number of areas in the draft regulatory technical standards where the EBA sets out overly prescriptive criteria, highlights the need for sufficient supervisory discretion to reflect the diversity of EU regulated banks, and suggests the avoidance of any contradiction with the Fundamental Review of the Trading Book framework, which banks may need to implement already in 2019.
ISDA_AFME - Response to EBA CP on IMA Assessment_Final_11032016.pdf
February 15, 2016
ISDA/AFME response to EBA consultation on treatment of CVA risk under SREP
On February 12, 2015, ISDA responded jointly with the Association for Financial Markets in Europe (AFME) to the European Banking Authority (EBA) consultation on guidelines on the treatment of credit valuation adjustment (CVA) risk under the supervisory review and evaluation process. The ISDA/AFME response challenges the need for the proposed guidelines, suggesting that the right place to make changes to the CVA framework is at the Basel level. It also highlights the duplicative nature of the proposals with existing SREP guidance and the resulting overriding of the EU CVA exemptions.
EBA CP on SREP Excessive CVA Risk - ISDA-AFME Response Letter.pdf
November 4, 2015
ISDA/GFMA/IIF send letter to GHOS and BCBS on FRTB
On October 30, ISDA, GFMA and IIF sent a letter to the Group of Governors and Heads of Supervision (GHOS) and the Basel Committee on Banking Supervision (BCBS) highlighting areas of the Fundamental Review of the Trading Book (FRTB) framework that require further consideration in order to ensure a balanced and more robust market risk capital framework and prevent negative impacts on the market and broader economy.
FRTB Letter to GHOS  30 October FINAL (2).pdf
October 22, 2015
ISDA/GFMA/IIF publish industry FRTB QIS analysis
ISDA, GFMA and IIF ran a project to analyse the data submitted by 28 banks as part of the fourth Fundamental Review of the Trading Book (FRTB) quantitative impact study (QIS). The results show banks using the standardised approach will have to hold 4.2 times the total market risk capital banks hold today.
Industry FRTB QIS Analysis Executive Summary OCT 2015.pdf
October 15, 2015
Consideration of Accounting Analysis for CCP Recovery and Continuity Tools
This paper examines some factors that central counterparties (CCPs) should consider in structuring partial tear-up methodologies so as not to contravene rules on offsetting under the applicable accounting standards, which would render cleared derivatives uneconomical. The paper notes that CCPs can structure partial tear-up in a number of ways. Whatever the structure, the CCP’s methodology for partial tear-up should be transparent, written in its rule book, available to all potentially affected parties and should respect US GAAP and IFRS accounting standards.
ISDA Accounting Committee_CCP Recovery tools White Paper -  Oct 13 2015 FINAL.pdf
October 5, 2015
Joint associations’ response to BCBS consultation on IRRBB
On September 11, ISDA responded jointly with the other associations (IIF/IBFed/GFMA) to the BCBS consultation on interest rate risk in the banking book (IRRBB). The response supports the goal of ensuring that banks continue to manage IRRBB effectively, and that appropriate transparency is achieved to properly gauge banks’ IRRBB exposure. However, it reiterates these goals can be pursued within a Pillar 2 and Pillar 3 frameworks. Given the nature of IRRBB, the industry does not believe that a Pillar 1 approach is appropriate.
BCBS IRRBB response - Final.pdf
October 5, 2015
Joint associations’ response to BCBS consultation on the CVA review
On October 1, ISDA responded jointly with other associations (GFMA/IIF) to the Basel Committee on Banking Supervision consultation on the review of the credit valuation adjustment (CVA) framework. In the response, the industry i) welcomes the BCBS decision to revisit the current CVA framework and to incorporate CVA into the revised market risk framework (ie, within the Fundamental Review of the Trading Book); and ii) believes that the proposed framework is a step in the right direction towards achieving the BCBS goals of risk sensitivity and simplicity, subject to certain modifications. The response then provides a number of recommendations that, if considered together, will facilitate the swift and smooth finalization of the CVA framework review.
Trade Associations Response - BCBS CVA CP - FINAL.pdf
July 13, 2015
CCP Resilience: Letter to CPMI-IOSCO on CCP Stress Testing
ISDA-Letter_to_CPMI-IOSCO_on_CCP_Stress_Testing_Transparency_Governance_and_Best_Practices-FINAL.pdf
May 14, 2015
ISDA/GFMA/IIF letter on the Fundamental Review of the Trading Book
On May 1, 2015, the joint associations (ISDA/GFMA/IIF) submitted a letter on the Fundamental Review of the Trading Book (FRTB) to the Chairman of the Basel Committee on Banking Supervision (BCBS) and the Chairman of the Group of Governors and Heads of Supervision (GHOS). The letter highlights the Importance of assessing the impact of the design and calibration of the FRTB in advance of finalizing the framework.
ISDA GFMA IIF Letter on FRTB.pdf