This committee creates a forum to exchange ideas on various risk management models and techniques, as well as to address topical issues that challenge the industry. Special task forces evaluate and respond to regulatory proposals on market, credit and operational risk capital guidelines. ISDA is also setting up databases and sponsoring academic projects in the field of risk management.

Risk Management Issues (please click on the item of interest)

• Committee Structure • Capital Accord Reform • Internal Ratings • Credit Risk Mitigation • Counterparty Risk

o CRWG (Joint IIF-ISDA-LIBA Working Group on the Modelling of Default Risk in the Trading Book)

• Convergence of Economic Capital Models Project • Operational Risk Working Group • Risk Management Seminars • Risk Management Databases • Commodity Firms Regulatory Capital Treatment

COMMITTEE STRUCTURE

• Europe Co-Chair: Tanya Castell (UBS Warburg) • Japan Co-Chair: Yusaku Manabe (Mitsubishi Securities) • North America Co-Chair: Evan Picoult (Citibank) • Europe Staff Contact: Emmanuelle Sebton -- esebton@isda.org • Japan Staff Contact: Tomoko Morita -- tmorita@isda.org • North America Staff Contact: David Mengle -- dmengle@isda.org

Basel Accord Implementation Working Group (BAIWG)

• Chair: Tanya Castell (UBS Warburg) • Europe Staff Contact: Emmanuelle Sebton

Internal Ratings Working Group (IRWG)

• Chair: TBD • Europe Staff Contact: Ed Duncan

Credit Risk Mitigation Working Group (CRMWG)

• Chair: Emmanuelle Sebton (ISDA)/Kim Patel (BBA) Katharine Seal (LIBA) • Europe Staff Contact: Emmanuelle Sebton

Counterparty Risk Working Group (CRWG)

• Chair: Tom Wilde (CSFB) • Europe Staff Contact: Emmanuelle Sebton

Operational Risk Working Group (ORWG)

• Europe Staff Contact: Richard Metcalfe • Chair: Matt Kimber (HBoS)

Convergence of Economic Capital Models Project (CECMP)

• Chair: Mich Araten (J.P. Morgan Chase) • North America Staff Contact: David Mengle

Commodity Firms Regulatory Capital Treatment Working Group, (CFRC)

• Europe Staff Contact: Emmanuelle Sebton

How to Join

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CAPITAL ACCORD REFORM (BAIWG)

SUBJECT STATUS AVAILABLE DOCUMENTS Joint trade association response to BCBS Consultation Document on Home-Host information sharing

ISDA/BBA/LIBA response to Basel Committee on Banking Supervision's Consultation Document on Home-Host information sharing for effective Basel II implementation, which is based on the experience and ongoing work of the Accord Implementation Group (AIG).

Joint trade association response to BCBS Consultation Document on Home-Host information sharing, (February 24, 2006)

Joint trade association response on CEBS Consultation Paper (CP) CP10R

ISDA-LIBA-BBA-ESF letter re CEBS Consultation Paper (CP) CP10R: Second Round of Consultation on the Validation and Assessment of Credit and Operational Risk Approaches under the Basel 2 regulatory Capital Requirements Directive

Joint trade association response on CEBS CP10R, (February 16, 2006)

Joint trade association response on CEBS Suplementary Note to Consultation Paper (CP) 07

ISDA-LIBA-BBA letter re CEBS Suplementary Note to Consultation Paper (CP) 07 on ECAIs' recognition

Joint trade association response on CEBS Suplementary Note to Consultation Paper (CP) 07, (November 30, 2005)

Joint trade association response on CEBS Consultation Paper (CP) CP09

ISDA-LIBA-BBA letter re CEBS Consultation Paper (CP) CP09: Co-operation between Consolidating Supervisors and Host Supervisors

Joint trade association response on CEBS CP09, (November 8, 2005)

Joint trade association response on CEBS Consultation Paper (CP) CP10

ISDA-LIBA-BBA letter re CEBS Consultation Paper (CP) CP10: Guidelines on the implementation, validation and assessment of Advanced Measurement (AMA) and Internal Ratings Based (IRB) Approaches

Joint trade association response on CEBS CP10, (October 31, 2005)

Joint trade association response on CEBS Consultation Paper (CP) CP08

ISDA-LIBA letter re CEBS Consultation Paper (CP) CP08 on its role and tasks

Joint trade association response on CEBS CP08, October 28, 2005

Joint trade association response on CEBS' CP03 Revised Supervisory Review Process

ISDA/BBA/LIBA response to the Committee of European Banking Supervisors (CEBS) on CEBS’ CP03R: Application of the Supervisory Review Process

Joint trade association response on CEBS' CP03R Supervisory Review Process (October 21, 2005)

Under Pillar 2 Revised Joint trade association response on CEBS' CP07 on the recognition of External Credit Assessment Institutions under Basel II (Standardised)

ISDA/BBA/LIBA response to the Committee of European Banking Supervisors (CEBS) on CEBS’ CP07: Consultation on the recognition of External Credit Assessment Institutions.

Joint trade association response on CEBS' CP07 on the recognition of External Credit Assessment Institutions (September 30, 2005)

Joint Associations Statement on the need for Comitology in the Capital Requirements Directive (CRD

ISDA/FBE/LIBA/FOA/EMF/IIF Statement addressed to the European Parliament and the EU Commission, on the need for Comitology in the Capital Requirements Directive

Joint Associations Statement on the need for Comitology in the Capital Requirements Directive (July 11, 2005)

CEBS Consultation on financial reporting (CP06)

ISDA-BBA-LIBA letter to Committee of European Banking Supervisors (CEBS) commenting on the proposed consolidated financial reporting framework outlined in CP06.

CEBS Consultation on financial reporting (CP06) (July 8, 2005)

CEBS Consultation on the framework for Supervisory Disclosure (CP05)

ISDA-BBA-LIBA letter to Committee of European Banking Supervisors (CEBS) commenting on the proposed supervisory disclosure framework outlined in CP05.

CEBS Consultation on the framework for Supervisory Disclosure (CP05) (June 29, 2005)

Amendments to Directive on Capital Requirements

ISDA/LIBA Letter to European Parliament on Amendments to Directive on Capital Requirements

ISDA/LIBA Letter re Directive on Capital Requirements (March 24, 2005)

ISDA/LIBA Amendments re Directive on Capital Requirements (March 24, 2005)

Amendments to the proposed EU Capital Requirements Directive (CRD)

ISDA-LIBA-BBA CRD Amendments for HMT

ISDA-LIBA-BBA CRD Amendments, Summer 2004

Consultation on the Treatment of CIUs in the Trading Book and Banking Book

ISDA-LIBA Response to European Commission

ISDA-LIBA Response to EC on CIUs, (March 4, 2004)

Supervised Investment Bank Holding Companies and Consolidated Supervised Entities

ISDA Comment Letter to U.S. Securities and Exchange Commission

ISDA comment letter dated (February 4, 2004); Appendices to SEC comment letter

U.K. Implementation of New Accord (CP 189)

ISDA/BBA/LIBA response to CP 189: Report and first consultation on the implementation of the new Basel and EU Capital Adequacy Standards.

ISDA/BBA/LIBA response to CP 189 (December 12, 2003)

U.S. Implementation of New Accord (ANPR)

Joint ISDA/TBMA response to U.S. Bank Regulatory Agencies' Advance Notice of Proposed Rulemaking on the New Basel Accord

ISDA-TBMA ANPR Comment (November 3, 2003), Appendices to ISDA-TBMA Comment

Transposition of New Accord into EU law (RBCD)

Joint ISDA/LIBA comment letter to the EU Commission on the Risk Based Capital Directive.

LIBA/ISDA's response to the EU Commission on RBCD (Annex 2, Annex 3) (October 22, 2003)

Basel Accord Reform

Joint ISDA-TBMA comment letter to Basel Committee on Banking

ISDA-TBMA's Response to the Basel Committee on Banking

Third Consultative Paper (CP3) Supervision Supervision's Third Consultative Paper (CP3) on the New Capital Accord (July 31, 2003)

Response to Commission Services' Working Document on Capital Requirements for Credit Institutions and Investment Firms

ISDA and LIBA commented on the proposed implementation in the EU of the New Basel Accord (CAD3), with a specific focus on the capital treatment of traded instruments and investment firms.

Cover letter David Wright (February 2003) ISDA LIBA response (February 2003)

Letter to Darryll Hendricks on the QIS3 Technical Guidance

A detailed commentary highlighting remaining industry concerns regarding the new Basel Accord draft.

Letter to Darryll Hendricks (December 20, 2002)

ISDA letter to the BIS Accord Implementation Group

Presents ISDA's Basel implementation concerns and work program.

Letter to Nicholas Le Pan (May 24, 2002)

Basel Accord Reform Second Consultative Paper (CP2)

ISDA's Response to CP2 ISDA's Response to the Basel Committee on Banking Supervision's Consultation on the New Capital Accord (May 31, 2001)

Joint Trade Association Summary of the Basel Proposals (January 2001)

Transposition of New Accord in the EU

ISDA's response to EU Commission First Consultative Paper

* EU proposals (November 1999)

* ISDA’s response (March 2000) Basel Accord Reform First Consultative Paper (CP1)

ISDA's Response to CP1 *ISDA’s response (February 2000) *Basel consultation paper on the new capital adequacy framework (June 99)

Credit Risk & Regulatory Capital ISDA’s study group on credit risk proposes to amend and improve the current regulatory capital regime. First initiative that proposes a concrete reform of current international regulation based on quantitative data and information on models. ISDA has discussed the paper with the European Commission, the Bundesbank, the BAKred, the FSA, the New York Fed, the Commission Bancaire and other local regulators. ISDA hosted Data Summits in London and New York to bring together data providers and risk managers. ISDA issued a comprehensive update on credit risk data availability.

ISDA paper (March 1998)

* "Update on Credit Risk Data Availability" (October 1998)

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INTERNAL RATINGS WORKING GROUP (IRWG)

SUBJECT STATUS AVAILABLE DOCUMENTS ISDA/IIF Meeting with AIG/CTF LGD Working Group, Paris (22 June, 2005)

ISDA and IIF members met with the AIG/CTF working group on "downturn" LGDs

Meeting Summary, June 22, 2005

ISDA/IIF Meeting with AIG/CTF LGD Working Group, London (18 April, 2005)

ISDA and IIF members met with the AIG/CTF working group on "downturn" LGDs

Meeting Summary, April 18, 2005

ISDA/IIF Meeting with AIG/CTF LGD Working Group, Washington (8 February, 2005)

ISDA and IIF members met with the AIG/CTF working group on "downturn" LGDs

Meeting Summary, February 8, 2005

Joint ISDA LIBA BBA Working Group Discussion Paper on Low Default Portfolios - January 2005

To inform discussions between regulators and firms (on January 27th in New York) circulated to members of ISDA and the AIG Sub-Group on Validation.

Joint ISDA LIBA BBA Working Group Discussion Paper on Low Default Portfolios, January 2005

Joint ISDA-LIBA-BBA Response to CEBS' (Committee of European Banking Supervisors) Paper on Basel Pillar 2

Joint Industry Response on CEBS' Paper The Application Of The Supervisory Review Process Under Pillar 2, sent to Louis Roldan, CEBS

Final Response ISDA-LIBA-BBA on CEBS Paper, August 31, 2004

Joint ISDA-LIBA-BBA working group paper on Low Default Portfolios

IRB Approach for Low Default Portfolios - Recommendations of the Joint ISDA, LIBA, BBA Industry Working Group sent to Nick Le Pan, Accord Implementation Group

Introduction Paper to Nick Le Pan, AIG, August 9, 2004; Paper to Nick Le Pan, AIG, August 9, 2004

ISDA/EBF letter to Jaime Caruana, Basel Committee, on LGD requirements in the New Accord.

ISDA/EBF letter sent simultaneously with IIF, regarding Treatment of Loss Given Default.

ISDA/EBF letter to Jaime Caruana, Basel Committee, on LGD requirements, May 11, 2004

Basel Accord: Minimum Requirements for the IRB approach.

ISDA Comments on Section 2.III.H of CP3

ISDA Letter to Nick Le Pan, Accord Implementation Group (July 30, 2003)

Advanced IRB Forum, New York (19 June) and London (23 June)

ISDA, RMA and BBA discussed results of their survey on the validation of banks' internal credit ratings, a key element underlying the Internal Ratings-Based (IRB) approach in the New Basel Capital Accord.

- Slides by David Wright June 19, 2003 - Slides by Michel Crouhy June 19, 2003 - Slides by Scott Dillman June 19, 2003 - Slides by Lawrence Mielnicki June 19, 2003 -Slides by Kevin Ryan June 23, 2003 - Slides by Warren Mockett June 23, 2003 - Slides by Idzard van Eeghen June 23, 2003 - Slides by Monika Mars June 23,

2003 - Slides by Laurie Mayers June 23, 2003 - Slides by Sebastian Fritz June 23, 2003

Meeting with AIG members on Validation

ISDA was invited to attend the June meeting of the Accord Implementation Group (AIG) to present the results of the Internal Ratings Validation Study. The meeting was chaired by Nick Le Pan and comprised 35 regulators from the G10 countries. Three Associations invited both retail and corporate specialists who participated in the Study from Europe and North America. The Study was published in the second week of June, and all regulators and firms present were sent advanced copies of the report. An audience with the AIG would represent the first truly international discussion on validation between regulators and the industry.

Notes from the AIG meeting on Validation (June 18, 2003)

Meeting with AIG Members on Data Issues

Outlined in the paper is a summary of the responses from the ISDA Internal Ratings Working Group (IRWG) on “data” issues arising from the AIG questionnaire on the New Basel Accord and notes from the meeting with members of the AIG and representatives from ISDA that took place in Washington DC on April 16th.

Notes to AIG Data Issues (April 16, 2003)

Letter to Nick le Pan on the Minimum Requirements for the IRB approach set out in the Technical Guidance for QIS 3

A commentary submitted to the AIG by ISDA highlighting issues which would, in our opinion, benefit from further guidance, clarification, or amendment in CP3.

IRWG letter to Nicholas Le Pan (December 20, 2002)

Letter to Stephen Bland (Models Task Force) on the revised IRB definition of default.

A letter focusing on the need for regulators to [clarify (i) the meaning of "credit related economic loss" and (ii) the relationship between the IRB definition of default and the operational requirements imposed on credit default swaps and guarantees.]

IRB Default Letter- (February 22, 2002)

ISDA letter to Darryll Hendricks on the IRB treatment of expected losses and future margin income.

Response to the Basel Committee consultation paper on the IRB treatment of expected losses and future margin income.

Darryll Hendrick's Letter- (October 25, 2001)

Letter to Stephen Bland Response to the Basel Stephen Bland Letter

Chairman of the Models Task Force Sub Group on Equity Holdings

Committee consultation paper on the capital treatment of equity holdings in the banking book

(September 17, 2001)

Letter to Daniele Nouy chairman of the BIS Models Task Force on the Granularity adjustment to the IRB function

Amendments to the proposed granularity function, as well as to the representation of loss given default volatility

Daniele Nouy Letter (July 30, 2001)

EBF-ISDA retail risk management study

ISDA surveyed retail risk management practices jointly with the European Banking Federation

EBF-ISDA retail portfolio study

Basel Accord/re-estimation of index matrix

ISDA re-estimated its credit risk index matrix at the 99.5th percentile

Re-estimation of index matrix (July 2000)

Basel Accord/Models Task Force Surveys

ISDA assisted the BIS Models Task Force by collating information on the following issues: - Definition of default used by banks - Loss Given Default/Exposure at Default estimates - Economic capital allocations for credit risk

Definition of Default survey (July 2000)

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CREDIT RISK MITIGATION WORKING GROUP (CRMWG)

SUBJECT STATUS AVAILABLE DOCUMENTS ISDA questions the withdrawal from the New Accord of the notion of "control over restructuring"

ISDA's response to the Basel Committee's letter of 25 February 2004

Letter to Norah Barger, Chair of Credit Risk Mitigation Sub-group of the Basel Committee (March 12, 2004)

Comments on Basel Committee technical paper regarding the capital treatment of securitisation exposures

A detailed review of the pros and cons of simplifying the supervisory formula approach to unrated securitisation tranches

Joint ISDA-BBA-LIBA letter to the Financial Services Authority on securitisation, (February 16, 2004)

Comments on Federal Reserve Board White Paper on Double Default and Double Recovery Effects

Joint Trade Associations comments on Federal Reserve Board White Paper

Joint Trade Associations' comment letter on the FRB White Paper on Double Default and Double Recovery Effects (November 03, 2003)

The New Basel Capital Accord: Global Securitisation Comment Letter

Comments from a group of Trade Associations on the capital treatment of securitisation transactions proposed in the Third Basel Committee Consultation Paper on the New Capital Accord.

Global Securitisation Industry Comment (July 31, 2003)

Joint ESF-ASF-ISDA-IACPM letter on the Second Working Paper (WP2) on the capital treatment of securitisation.

An in-depth analysis of WP2, including counter-proposals on RBA weights, the SFA and synthetic securitisation.

Securitisation Final Comment Letter (January 13, 2003)

Letter to Norah Barger, Chairperson of the CRM sub

A presentation by industry of the case for removing restructuring

Letter to Norah Barger (October 2, 2002)

group, on restructuring events from the list of events to be hedged by credit default swaps in order to receive capital relief.

Joint ISDA-TBMA-LIBA letter to FSA on the Large Exposures Regulation of securities financing transactions.

Recommends a change in the FSA's implementation of the Banking Consolidation Directive.

Letter to Clive Briault (May 29, 2002)

Letter to the BIS Securitisation Working Group on the capital treatment of synthetics

A letter produced jointly by ISDA and the European Securitisation Forum containing our joint recommendations for the capital treatment of synthetic securitisation

Final ISDA- ESF Synthetic Comment Letter (December 12, 2001)

ISDA letter to Oliver Page, Chairman of the Capital Group on the regulatory capital treatment of hedged exposures and joint default risk.

ISDA proposal for the regulatory treatment of joint default risk arising from guarantees and credit default swaps.

Oliver Page Letter (October 3, 2001)

Capital treatment of credit derivatives in UK

The UK Financial Services Authority is bringing into one single document the credit derivatives policies previously issued by the Bank of England and the Securities and Futures Authority. ISDA, jointly with the BBA (British Bankers Association) and LIBA (London Investment Banking Association), is seizing this opportunity to request an upgrading of the rules, in particular with respect to the capital treatment of step-up/calls.

Letter to FSA (August 2000)

Linked to discussions Ireland The Central Bank of Ireland released draft rules for comment in December 1999. ISDA responded February 2000 The CBI issued final rules in August 2000

* CBI’s draft rules (December 1999) * ISDA’s response (February 2000) * CBI’s final policy (August 2000)

Capital treatment of credit derivatives in Singapore

The Monetary Authority of Singapore has issued draft credit derivatives guidance in November 99. ISDA responded in December 99. The MAS issued final policy in September 2000.

MAS credit derivatives policy (September 2000)

Capital treatment of credit derivatives in Hong Kong

The Hong Kong Monetary Authority has released amended draft rules for comment (October 2000).

* ISDA’s response (October 2000)

Capital treatment of credit derivatives in Australia

The Australian Prudential Regulatory Authority (APRA) issued a consultative document in April 1999. ISDA drafted a response which was sent to APRA in July 1999.

* APRA consultative document on the Capital Treatment of Credit Derivatives (April 1999) * ISDA’s response (15 July 1999)

Capital treatment of credit derivatives in Germany

BAKred published rules in June 1999

*BAKred Draft Circular on the Treatment of Credit Derivatives (15-A233-2/98); *ISDA Draft Comments (circulated among members for feedback on August 9, 1998); *ISDA Response to the BAKred (September 1998); *BAKred Credit Derivatives rules (June 1999)

Capital treatment of credit derivatives in Belgium

The Belgian CBF has released draft rules for comments in October 2000

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COUNTERPARTY RISK WORKING GROUP (CRWG)

SUBJECT STATUS AVAILABLE DOCUMENTS Proposed Principles for Modeling Incremental Default Risk in the Trading Book

Letter from the Joint IIF-ISDA-LIBA Working Group on the modeling of default risk in the trading book to the AIG Sub-group on Strand 3

Incremental Default Risk Principles, January 5, 2006

Trading Book Compendium 2005 Compendium of comment papers produced by ISDA, IIF, LIBA and TBMA on the Trading Book Review between mid 04 and mid 05

Available for sale from the Home Page

Joint ISDA-BBA-LIBA response to FSA pre-consultation on the implementation of the Internal Model Method (IMM)

Detailed commentary, covering issues such as partial use, peak versus expected exposure, own estimates of alpha and the treatment of margining.

Joint Associations' Comment Paper, Sep-05

ISDA-FBE-LIBA Response to Commission Services Consultation Paper on Trading Activities Related Issues and the Treatment of Double Default Effects

Joint Associations' response to the European Commission's consultation on Trading Activities Related Issues and the Treatment of Double Default Effects, launched on April 8, 2005

ISDA-FBE-LIBA Response to Commission Services Consultation Paper, May 27, 2005

Joint ISDA-LIBA-FOA-TBMA-IIF-IBFed Letter to Basel Committee regarding the Trading Book Review

This is a joint Associations letter to the Basel Committee regarding the Application of Basel II to Trading Activities in the Trading Book Review

Press Release; Joint Associations letter on Application of Basel II to Trading Activities (May 27, 2005)

Joint ISDA-FBE-IIF-LIBA-TBMA Letter to Jaime Caruana, Basel Committee on the Trading Book Review

This is a joint Associations letter to the Basel Committee regarding the timescales given for different issues covered in the

Joint ISDA-FBE-IIF-LIBA-TBMA Letter to Basel Committee re Trading Book Review (December 9, 2004)

Trading Book Review Joint ISDA-LIBA-TBMA Letter to Norah Barger, Basel Committee on the capital treatment of unsettled transactions

This is a joint Associations letter to the Basel Committee in response to their letter of 25th February in regard to concerns in the potential treatment of unsettled transactions.

ISDA-LIBA-TBMA Letter to Basel Committee re Unsettled Transactions (June 07, 2004)

Joint ISDA-LIBA-TBMA Basel Accord Trading Book Compendium

This document collects in one place useful research pieces and surveys produced by ISDA and the Federal Reserve Board on issues of relevance to the newly formed Basel / IOSCO trading book working group. This document is jointly produced and endorsed by ISDA, LIBA and TBMA.

Basel Accord Trading Book Compendium 2004, ISDA-LIBA-TBMA (March 05, 2004)

Joint ISDA/LIBA/TBMA recommendations on the counterparty risk treatment of OTC derivatives and securities financing transactions

An in-depth study of measures of future exposure performed by the ISDA Counterparty Risk Working Group, and endorsed by LIBA and TBMA. The Associations recommend a change in the regulators' approach to measuring future exposure for OTC derivative and securities financing transactions, and advocate using a small multiple of expected positive exposure for this purpose.

Counterparty Risk Recommendations (June 25, 2003) Counterparty Risk Annex (June 25, 2003)

Letter to the Credit Risk Mitigation Sub-group on repo VaR multipliers.

Analysis of the repo VaR multipliers proposed by the Basel Committee in the QIS3 Technical Guidance.

Letter to Norah on multipliers (March 19, 2003)

Letter to Norah Barger, Chairperson of the CRM Sub-group

A letter outlining industry views on whether and how portfolio VaR backtests can be applied to repo portfolios.

Letter to Norah on sampling (November 08, 2002)

Letter to Norah Barger, Credit Risk Mitigation Subgroup of the Basel Capital Group, regarding treatment of collateralised transactions

Joint ISDA-LIBA-TBMA response to Credit Risk Mitigation Subgroup's April 2002 letter proposing a revised treatment of collateralised transactions.

• ISDA-LIBA-TBMA Letter to CRM Subgroup (May 17, 2002)

• CRM Subgroup Letter (April 17, 2002)

Joint ISDA-LIBA-BMA letter to Oliver Page, Chairman of the Capital Group on regulatory haircuts for securities financing transactions.

Response to the Basel Committee on the counterparty risk treatment of portfolio of securities financing transactions.

Oliver Page Letter (October 5, 2001)

Letter to Richard Gresser Chairman of the Models Task Force Sub Group on Counterparty Risk

Response to Models Task Force letter on the treatment of wrong way risk and weak independence in an EPE based framework

Richard Gresser Letter (September 7, 2001)

Letter to Daniele Nouy Chairman of the BIS Models Task Force on Counterparty Risk

Argumentation on the appropriateness of using Expected Positive Exposure to measure future exposure on

Daniele Nouy Letter (August 1, 2001)

OTC derivatives contracts

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CRWG (JOINT IIF-ISDA-LIBA WORKING GROUP ON THE MODELLING OF DEFAULT RISK IN THE TRADING BOOK)

SUBJECT STATUS AVAILABLE DOCUMENTS Comparative table of default models in the trading book

Table assembled by ISDA, enabling the comparison of default risk models being developed by some member firms

Comparative table, regularly updated

AIG Working Group response to IIF/ISDA/LIBA letter

Clarification brought by the regulators on the definition of the soundness standard to be met by default risk models in the trading book

AIG Working Group response, October 2005

IIF-ISDA-LIBA letter to the AIG Working Group

Joint Associations' letter requesting clarification from the regulators on paragraph 307 of the Trading Book Review

Joint Associations' letter, October 2005

The Application of Basel II to Trading Activities and the Treatment of Double Default Effects (commonly known as the Trading Book Review)

This document amends the Basel II framework in three key areas: -Counterparty Credit Risk -Double Default Risk -Market Risk

Basel/IOSCO publication, July 2005

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CONVERGENCE OF ECONOMIC CAPITAL MODELS PROJECT (CECMP)

SUBJECT STATUS AVAILABLE DOCUMENTS 2002 Survey of Credit Portfolio Management Practices

Survey conducted by Rutter Associates and sponsored jointly by ISDA, IACPM, and RMA.

2002 CPM Survey results

Portfolio modeling of credit risk ISDA and the Institute of International Finance tested portfolio models against standard portfolios

Modeling credit risk Joint IIF/ISDA Testing Programme (February 2000) Available from ISDA (‘Documentation’ section of the website)

Credit Risk Modeling The Basel Committee issued a consultative document in May 1999, to which ISDA responded in October. ISDA met with the Models Task Force to discuss the paper and got positive feedback

*Basel paper on credit risk modeling (May 1999)

*ISDA’s response (October 1999)

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OPERATIONAL RISK WORKING GROUP (ORWG)

SUBJECT STATUS AVAILABLE DOCUMENTS Basel Accord / EU Capital Adequacy Directive Reform

ISDA's Operational Risk Working Group is made up of member firms directly affected by capital rules. It continues to stress the importance of flexibility in the rules on operational risk, in order to accommodate the reality of current and evolving practice in the management of this risk. The ORWG works closely with the Risk Management Group of the Basel Committee, on both quantitative and qualitative issues.ISDA has conducted impact studies to determine the appropriate level for: 1) the ‘alpha’ factor that should apply in the ‘Basic Indicator Approach’; and 2) the ‘beta’ factors proposed for The Standardized Approach.

ISDA responses to Basel/EU consultation contain chapters on operational risk. (See section above on ‘Capital Accord Reform’ for details). Other papers include:

A letter to the Accord Implementation and Risk Management Groups on the January 2004 Basel Committee paper on Home-host allocation of AMA capital. ISDA maintains that, at a minimum, clarifications are necessary to the 'hybrid' supervisory approach, in order not to prejudice the workability of the more advanced methods of calculating operational risk capital. ISDA wrote to the Risk Management Group in May 2003, ahead of a meeting in New York. A copy of this letter is available. ISDA September 2002 response to Risk Management Group consultations on 'Sound Practices' paper and 'Rules' language ISDA Response to Basel Committee’s ‘Working Paper on the Regulatory Treatment of Operational Risk’ Further Proposals for Regulatory Treatment of Operational Risk Expected Losses (May 2002, proposing a framework for regulatory recognition of expected loss in operational risk.) Operational Risk Regulatory Approach Discussion Paper (September 2000, on incorporating qualitative factors into the regulatory treatment of Operational Risk.)

Survey on operational risk management practices

Unique, groundbreaking survey, published in January 2000. Covers the full range of issues including: definition, management structure, tools, insurance, reporting, capital, and future trends.

‘Operational Risk – The Next Frontier’, published jointly with BBA and RMA. Available from ISDA

Regulatory Papers Various papers, primarily available from BIS web-site (http://www.bis.org)

To access presentations and papers distributed at the Conference organised by the Basel Committee's Risk Management Group on "Leading Edge Issues in Operational Risk Measurement" conference hosted by the Federal Reserve Bank of New York In May 2003, please click on the following URL. http://www.newyorkfed.org/newsevents/

events/banking/2003/con052903.html “Principles for the home-host recognition of AMA operational risk”, January 2004, Basel Committee Technical Paper. (Principles developed by Accord Implementation Group, jointly with Risk Management Group. Includes as annex proposed Basel Accord text.) Available at http://www.bis.org/publ/bcbs106.htm

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RISK MANAGEMENT SEMINARS

The ISDA Risk management events are periodically held presentations where we invite speakers from the academic, the regulatory or the business side to present and discuss Risk Management topics that are at the forefront of Risk Management. These seminars provide useful updates on industry best practice and research in the field of risk management. The presentations in the form of lunches in New York, and evening events in London are meant to gather Risk Management professionals from various industries around these topics. For more information please contact: NY: jpachos@isda.org London: mmarusic@isda.org

2006 European Program

Relevant ISDA and PRMIA members are sent invitations in advance of these meetings. Non-members are not eligible to attend.

The Risk Management Seminar titles, speakers and presentations will be added to the table below, as and when they are confirmed.

The dates in 2006 are as follows:-

DATE TITLE SPEAKER PRESENTATION January 17, 2006 Risk Management of Defined

Benefits Pension Plans Jon Spain, Government’s Actuary Department & Con Keating, Finance Development Centre

Slides by Jon Spain 17 Jan 06

Slides by Con Keating 17 Jan 06

February 7, 2006 Do Banks really need Pillar 1 IRB Compliance

Alistair Milne, CASS Business School

Slides by Alistair Milne 07 Feb 06

March 14, 2006 The IRB “waiver” application process in the UK

Uttiyo Dasgupta, HSBC To be posted after the seminar

April 11, 2006 May 16, 2006 June 13, 2006 July 11, 2006 August 8, 2006 September 19,

2006 October 17, 2006 November 14, 2006

December 5, 2006

2005 European Program

DATE TITLE SPEAKER PRESENTATION December 13, 2005

The World at Risk Steve Fowler, Institute of Risk Management

- Slides by Steve Fowler 13 Dec 05

November 15, 2005

Uses and Misuses of Required Economic Capital

Brian Dvorak, Moodys KMV

- Slides by Brian Dvorak 15 Nov 05

October 18, 2005 Vicariously managing risk from Hedge Funds

Stu Bohart, Morgan Stanley & Philippe Riachi, Morgan Stanley

Not Available

September 21, 2005

Fitch's view on hybrid capital and preferred securities

Damir Bettini, Fitch Ratings

- Slides by Damir Bettini 21 Sep 05

August 16, 2005 Operational Risk – A Storm is coming

Andrew Smith, HBOS - Slides by Andrew Smith 16 Aug 05

July 19, 2005 Ideas on Risk Reporting: Risk Topography and Risk Radar

Kan Ahluwalia, Bear Stearns

- Slides by Kan Ahluwalia 19 July 05

June 14, 2005 Risk Managers – are they value adding, irrelevant or downright dangerous?

Carol Sergeant, Lloyds TSB

Not Available

May 17, 2005 CEBS achievements to date Kerstin af Jochnick, CEBS

- Slides by Kerstin Jochnick 17 May 05

April 19, 2005 Who needs Operational Risk David Gibbs, VOCA Limited (formerly BACS)

- Slides by David Gibbs 19 April 05

March 7, 2005 Operational Risk: A Multi-Layered Problem

David Rowe, (Sungard) plus panel consisting of Oscar McCarthy (Lloyds TSB) & David Millar (Consultant)

- Slides by David Rowe 07 Mar 05

February 15, 2005 CANCELLED January 18, 2005 Assessing and Measuring

Operational Risk Ali Samad-Khan, OpRisk Advisory LLC

- Slides by Ali Samad-Khan 01 Jan 05

2004 European Program

DATE TITLE SPEAKER PRESENTATION December 7, 2004 CANCELLED November 16, 2004

The Market For Inflation Derivatives - Development And

Julian Tams Presentation available to ISDA

Application members on request from mmarusic@isda.org

October 13, 2004 Risk Management - The view from Lloyds

Andrew Gurney - Slides by Andrew Gurney 13 Oct 04

September 14, 2004

Translating Basel into Brussels Patrick Pearson - Slides by Patrick Pearson 14 Sep 04

August 17, 2004 Making Sense out of Metrics Michael Finlay - Slides by Michael Finlay 17 Aug 04

July 13, 2004 Achieving a Singular View of Trading Operations Worldwide

Pascal Emile - Slides by Pascal Emile 13 July 04

June 15, 2004 Management of credit risks within a trading environment

Craig MacDougall - Slides by Craig MacDougall 15 June 04

May 18, 2004 Avoiding Default: New Techniques for Managing Credit Risk

Jean-Martin Aussant - Slides by Jean-Martin Aussant 18 May 04

April 13, 2004 Reducing economic capital through securitisation

Michael Dickinson - Slides by Michael Dickinson 13 April 04

March 16, 2004 Diversification Between Different Risk Types: Understanding the Importance & Examining the Latest Techniques

Sebastian Fritz - Slides by Sebastian Fritz 16 March 04

February 17, 2004 ISDA Counterparty Risk Notes on "alpha"

Juan Grana - Slides by Juan Grana 17 Feb 04

January 21, 2004 An update on recent developments in Basel 2: distinguishing between expected and unexpected loss

Paul Sharma No presentation slides given

2004 Asia-Pacific Program

DATE TITLE SPEAKER PRESENTATION July 23, 2004 Enterprise Risk Management:

Beyond Regulatory and Governance Standards

Mr James Lam - Slide by Mr James Lam, 23 July 04

July 15, 2004 Basel II - the end of the tunnel? Mr Chris Matten - Slide by Mr Chris Matten, 15 July 04

June 8, 2004 Synthetic CDOs: Industry Trends in Analytical and Modeling Techniques

Mr Lawrence R. Dunn - Slide by Mr Lawrence R. Dunn, 8 June 04

May 14, 2004 Credit Portfolio Management Mr Otbert de Jong - Slide by Mr Otbert de Jong, 14 May 04

April 20, 2004 Credit Derivatives & Credit-Linked Structured Products

Mr Lee How Chih - Slide by Mr Lee How Chih, 20 April 04

March 17, 2004 Credit & Market Risk Stress Testing

Dr Khoo Guan Seng - Slide by Dr Khoo Guan Seng, 17 Mar 04

February 11, 2004 Asia Pacific Loss Given Default Mr Chiang Kheng Hong - Slide by Mr

Study & ISDA’s Risk Management Initiatives

Chiang Kheng Hong, 11 Feb 04

January 07, 2004 Restructuring in Credit Default Swaps

Kazuyasu Makabe - Slide by Kazuyasu Makabe, 7 Jan 04 THIS PRESENTATION IS THE PROPERTY OF JPMORGAN. IT MAY BE DOWNLOADED FOR PERSONAL OR INDIVIDUAL USE ONLY. IT MAY NOT BE DISSEMINATED OR REPRODUCED OTHERWISE WITHOUT THE PRIOR CONSENT OF JPMORGAN.

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2003 North American Program

DATE TITLE SPEAKER PRESENTATION December 08, 2003

Model Validation and Construction with Application to Recovery Modeling

Craig Friedman - Slides by Craig Friedman 08 Dec 03, References

September 25, 2003

Dealing with Double Default under Basel II

Erik Heitfield (Slides, Paper) by Erik Heitfield 25 Sep 03

June 19, 2003 Challenges in Validation: Taking the Study Findings Forward A Corporate Perspective

Lyn McGowan - Slides by Lyn McGowan 19 June 03

February 14, 2003 Default correlation: empirical evidence

Olivier Renault - Slides by Olivier Renault 12 Feb 03

2003 European Program

DATE TITLE SPEAKER PRESENTATION December 10, 2003

Risk Year in Review Dale Nolan, Craig MacDougall, Andy Fishman, Ed Duncan

Panel Discussion

November 12, 2003

What is Risk Management? Andrew Smith Slides by Andrew Smith 12 Nov 03

October 15, 2003 Problems of Credit - Pricing and Portfolio Management

Con Keating Slides by Con Keating 15 Oct 03

September 17, 2003

A New Regime for Derivatives Accounting

Charlotte Jones, Alex Brougham and Sue Harding

-Slides by Charlotte Jones, Alex Brougham and Sue Harding 17 Sept 03

August 13, 2003 Collateral: Transforming Counterparty Risk Into Legal and Operational Risks

Robert McWilliam PRIMA ISDA 13 Aug 2003

July 16, 2003 The relationship between Pension Assets and Liabilities

Cliff Speed -Slides by Cliff Speed 16 July 03

June 18, 2003 Legal Risk Dermot Turing - Slides by Dermot

Turing 18 June 03May 14, 2003 The Risks of Portfolios of Hedge

Funds Drago Indjic - Slides by Drago

Indjic 14 May 03April 16, 2003 Operational Risk for Asset

Managers Bruce Offergelt - Slides by Bruce

Offergelt 16 April 03

April 16, 2003 Operational Risk and its impact on the Fund & Investment Management Industry

Angelos Deftereos - Slides by Angelos Deftereos 16 April 03

April 16, 2003 Developments in Operational Risk Management

Neil Brown - Slides by Neil Brown 16 April 03

March 18, 2003 Operational Risk: An Assessment of Global Market Practices

Bradley Ziff - Slides by Bradley Ziff 18 March 03

February 20, 2003 Measuring Hedge Fund Risk Bernard Minsky and Graham Jung

- Slides by Bernard Minsky and Graham Jung 20 Feb 03

January 15, 2003 Current and Future Trends in Risk Systems

John Wisbey, David Welton, Brad Impey, Hugh Stewart, Mamdouh Barakat

Panel Discussion

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2002 North American Program

DATE TITLE SPEAKER PRESENTATION January 11, 2002 Analyzing and Explaining Default

Recovery Rates Edward I. Altman - Paper by Edward

I. Altman et al. - 11 Jan 02

February 12, 2002 The Components of Corporate Credit Spreads

Robert Geske Paper by Delianedis and Geske and Handout tables

March 21, 2002 Hybrid Contingent Claims Models: A Practical Approach to Modeling Default Risk

Sean Keenan and Jorge Sobehart

- Slides by Sean Keenan and Jorge Sobehart - 21 Mar 02

May 6, 2002 The Perception of Time, Risk and Return During Periods of Speculation

Emanuel Derman Paper by Emanuel Derman - 06 May 02

2002 European Program

DATE TITLE SPEAKER PRESENTATION February 13, 2002 A universal performance measure Con Keating - Paper by Con

Keating - 13 Feb 02 and Tables

March 13, 2002 Dinosaurs in a Porfolio Mark Freydefont - Slides by Mark Freydefont 13 Mar 02

April 10, 2002 Operational Risk in E Trading David Wood - Slides by David

Wood 10 April 02May 15, 2002 No Surprises - Combating Rogue

Trading Geoff Kates -Slides by Geoff

Kates 15 May 02June 12, 2002 Operational Risk on Everyone's

Desk - The RADAR System Jonathan Howitt -Slides by

Jonathan Howitt 12 June 02

July 10, 2002 Legal Risks on Derivatives "What's Hot What's Not"

Carolyn Jackson -Slides by Carolyn Jackson - 10 July 02

August 14, 2002 Counterparty Due Diligence Craig MacDougall -Slides by Craig MacDougall 14 Aug 02

September 10, 2002

The Practical Implications of Implementing Basel II

Panel Discussion

October 14, 2002 Correlation Arnaud de Servigny of Standard and Poor

-Slides by Arnaud de Servigny 14 Oct 02

November 13, 2002

The Art of Creating Value from the Intangible?

Craig Kersey -Slides by Craig Kersey 13 Nov 02

December 2002 Market Risk Management of Investment Portfolios

Riccardo Rebonato -Slides by Riccardo Rebonato Dec 02

December 2002 Real-World Evolution of the Yield Curve

Riccardo Rebonato -Slides by Riccardo Rebonato Dec 02

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2001 North American Program

DATE TITLE SPEAKER PRESENTATION February 2, 2001 The new Basel Capital Accord

(part1) Darryll Hendricks - Presentation

slides by Darryll Hendricks - 02 Feb 01

February 9, 2001 The new Basel Capital Accord (part2)

Darryll Hendricks - Presentation slides by Darryll Hendricks - 02 Feb 01

March 27, 2001 Credit Portfolio Management: Current State of Practice

Charles Smithson - Presentation slides by Charles Smithson - 27 March 01

May 9th, 2001 ISDA comments on Basel: Internal Ratings Based approach

Dennis Oakley - Adam Gilbert

November 9, 2001 The Impact of September 11 on the Credit Markets and Recent Changes to the Credit Derivatives Documentation

Hilmar Schaumann - Presentation slides by Hilmar Schaumann - 09 Nov 01

2001 European Program

DATE TITLE SPEAKER PRESENTATION

January 24, 2001 Pricing and Hedging Derivatives, How Save is Industry Standard Practice?

Bill Shadwick - Presentation slides by Bill Shadwick - 24 Jan 01

February 2001 Banking and Trading Book Integrated Risk Management

David Brathwaite Bill Collette

- Presentation slides by David Brathwaite and Bill Collette - Feb 01

March 14, 2001 Integrated Risk Management Hans Christian Bryn - Presentation slides by Hans Christian Bryn - 14 March 01

April 18, 2001 Basel’s consultation process: What’s emerging?

Stephen Bland - Presentation slides by Stephen Bland - 18 April 01

May 16, 2001 Managing Risk in International Business

Ephraim Clark - Presentation slides by Ephraim Clark - 16 May 01

June 13, 2001 Valuation of Weather Derivatives Jurgen Gaiser-Porter - Presentation slides by Jurgen Gaiser-Porter - 13 June 01

July 18, 2001 Risk Management for the Collateral Portfolio

Penny Davenport - Presentation slides by Penny Davenport - 18 July 01

August 8, 2001 Overview and Implications of FAS 133

Ira G. Kawaller - Presentation slides by Ira G. Kawaller - 8 Aug 01

September 10, 2001

Bayesian Methods for Measuring and Managing Operational Risks

Carol Alexander - Presentation slides by Carol Alexander - 10 Sep 01

November 14, 2001

Modeling the Default Risk of Unlisted Firms

Stephen Kealhofer and Brian Dvorak

- Presentation slides by Stephen Kealhofer and Brian Dvorak - 14 Nov 01

December 19, 2001

Views from the dark side Bill Martin - Presentation slides by Bill Martin - 19 Dec 01

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2000 North American Program

DATE TITLE SPEAKER PRESENTATION March 29, 2000 Integrating Market and Credit Risk

– Why is It So Hard Elizabeth Ruml

April 12, 2000 Internal Ratings William Treacy, Federal Reserve System

May 10, 2000 Insurance Risk David Tyson, Travelers June 15, 2000 Modeling of Default Risk Corrine Neale, Financial

Systems September 29, 2000

A Regulatory Capital Perspective on the Integration of Market and Credit Risk

Bob Mark, CIBC; Michel Crouhy, CIBC

November 14, 2000

Extreme Value Theory: A useful framework for modeling extreme Operational Risk Events

Marcelo Cruz, UBSW - Presentation slides by Marcelo Cruz - 14 Nov

2000 European Program

DATE TITLE SPEAKER PRESENTATION February 21, 2000 Operational risk Richard Metcalfe, ISDA

& David Glittelson, PricewaterhouseCoopers

March 10, 2000 Credit and market risk modeling Speaker: Ludger Overbeck, Deutsche Bank

July 7, 2000 Liquidity – The Risk Con Keating September 20, 2000

Extreme Value Theory: A useful framework for modeling extreme OR events

Marcelo Cruz - Presentation slides by Marcelo Cruz 20 Sep

October 30, 2000 A New Approach to EDF Validation

Corinne Neale, Financial Systems

- Presentation slides by Corinne Neale - 30 Oct

November 14, 2000

Issues for consideration in a credit model world

Bob Scanlon, CSFB - Presentation slides by Bob Scanlon - 14 Nov

December 15, 2000

The Basel Review Daniele Nouy, BIS - Presentation slides by Daniele Nouy - 15 Dec

December 15, 2000

Risk, Regulatory Capital and Capital Management

Tim Shepheard-Walwyn - Presentation slides by Tim Shepheard-Walwyn - 15 DEC

DATABASES PROMOTED BY ISDA

Sponsoring Trade Associations Core Information European Loss Given Default Database

RMA, BBA, EBF, ISDA European Loss Given Default Study

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COMMODITY FIRMS REGULATORY CAPITAL TREATMENT

SUBJECT STATUS AVAILABLE DOCUMENTS CFRC Working Group's letter to Peter Smith, European Commission

Letter addresses issues surrounding the European Commission's Review of regulatory capital treatment of commodity firms

CFRC Letter to European Commission, January 27, 2006

The fourth CFRC Meeting, Agenda included discussion of CFRC Notes of the fourth

January 18, 2006 the CFRC letter to European Commission; Establishment of a new sub-group on a qualitative risk management approach; Presentation of the expert groups’ work; and a report on a meeting of the FSA’s COMSG sub-group on consolidation

meeting (January 18, 2006) (Password Protected - CFRC Working Group Only)

Presentation by Tobias Strothmann, ConEnergy (Password Protected - CFRC Working Group Only)

Presentation by Martin Spanier, Syneco (Password Protected - CFRC Working Group Only)

Presentation on Commodities and the Capital Requirements Directive, prepared by ISDA

Presented at a Workshop organized by RWE on the Internal Market for Wholesale Trading in Electricity and Gas, Dec 2005

RWE Workshop Presentation, Dec 2005

The third CFRC Meeting, November 23, 2005

Agenda included the discussion of a slide presentation prepared by ISDA.

CFRC Notes of the third meeting (November 23, 2005) (Password Protected – CFRC Working Group Only)

Applicability and calibration of the CRD for commodity firms, presentation by ISDA

Monte Carlo simulation for assessing the market risk of a portfolio of commodity derivatives

An example simulation prepared by ISDA

Monte Carlo simulation

Commodity firms’ survey on counterparty credit risk measurement

A questionnaire prepared for members of the CFRC WG by ISDA, to be completed by 30 November 2005

Questionnaire on credit risk and exposure measurement, November 2005

The second CFRC Meeting, October 19, 2005

Agenda included discussion of CRD Article 45d and a presentation from Hunton & Williams re Regulation of “Specialist Commodity Dealers” in the United States; discussion on scope of capital treatment led by Clifford Chance; update on co-operation with KPMG; Hypothetical Portfolio testing.

CFRC Notes of second meeting (October 19, 2005); Article 45d; Regulation of “Specialist Commodity Dealers” in the United States, Hunton & Williams presentation (October 19, 2005); Scope of capital treatment, Clifford Chance (October 19, 2005)

The first CFRC Meeting, September 15, 2005

Agenda included a presentation from UK FSA regarding their Commodity Standing Group; a presentation from Clifford Chance on MiFID and CRD; Associations' activities in regulatory capital advocacy; discussion of CFRC Terms of Reference

CFRC Notes of first meeting (September 15, 2005)

Commodity Standing Group, UK FSA presentation MiFID: Interaction with the CRD, Clifford Chance presentation (September, 2005)

Investment Firms’ Statutory Abstract of Banque de France Investment Firms’ Statutory

Requirements in France, presentation by Arnaud Cruiziat (Gaselys)

Regulatory Requirements Requirements in France, September 2005

Compendium on the Capital Treatment of Commodity Firms active in the EU

Prepared by the Joint Industry Associations’ Working Group on Commodity Firms’ Regulatory Capital Treatment (CFRC) (EFET – FOA - ISDA – LIBA – Energy Commodities Traders Group)

CFRC Compendium, September 2005

Terms of reference of the Joint Associations’ Working Group on Commodity Firms’ Regulatory Capital Treatment (CFRC Working Group)

Prepared by EFET; FOA; ISDA; Energy Commodities Traders Group; [LIBA]

CFRC Working Group - Terms of Reference (September 16, 2005)

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Last Update: March 01, 2006