IMF Working Papers

A Framework for the Surveillance of Derivatives Activities

By Eva Gutierrez

March 1, 2005

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Eva Gutierrez. A Framework for the Surveillance of Derivatives Activities, (USA: International Monetary Fund, 2005) accessed September 19, 2024
Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

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.

Subject: Banking, Credit, Credit risk, Liquidity risk, Market risk

Keywords: Amount, Credit derivative, Derivative instrument, Derivatives activity, Risk, WP

Publication Details

  • Pages:

    25

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2005/061

  • Stock No:

    WPIEA2005061

  • ISBN:

    9781451860801

  • ISSN:

    1018-5941