A Framework for the Surveillance of Derivatives Activities, Issues 2005-2061
International Monetary Fund, Policy Review Department, Mar 1, 2005 - Business & Economics - 25 pages
This paper proposes a framework for the surveillance of financial institutions' derivatives activities. The designed framework builds on information likely to be collected by financial market regulators for supervisory purposes, and/or information collected by market participants for the purpose of their own risk management. The framework involves four pillars: (i) analyzing quantitative information on Derivatives activities, (ii) determining the adequacy of prudential regulations and supervisory arrangements, (iii) assessing the risk mitigation infrastructure, and (iv) assessing the degree of market transparency of the derivatives activities of financial institutions.
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Notional Amounts by Underlying Exposures
Summary of derivatives data elements and their uses
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A Framework for the Surveillance of Derivative Activities (EPub)
Miss Eva Gutierrez
Limited preview - 2005
adequacy aggregate bank disclose banks and securities Basel Accord Basel Capital Accord Basel Committee broad risk category central banks contracts Exchange-traded contracts held contracts traded domestically corporate sector counterparty credit quality Credit Default Swaps credit risk current credit exposures dealers derivative instruments derivative products derivatives activities derivatives past-due disclosure practices exchange-traded derivatives financial institutions funding liquidity risks Gross market value Gross negative market Gross positive market held for trading IAIS indicates information on credit Information on Derivatives information regarding IOSCO legally enforceable linked Contracts Market activity Market liquidity risk market participants market risk monitor negative market value netting agreements notional amounts notional outstanding Notional Turnover Notional OTC contracts OTC derivatives past-due derivatives positive market value Potential credit exposure remaining maturity risk management risk mitigation securities firms supervision of derivatives supervisors supervisory information Table Turnover Notional Turnover typically Value at Risk value of derivatives volume of contracts