A Framework for the Surveillance of Derivatives Activities
IMF Working Papers, March 1, 2005
Source details
- Canonical URL
- A Framework for the Surveillance of Derivatives Activities
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Bibliographic details
- Authors: Eva Gutierrez
- Published: March 1, 2005
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451860801.001
Overview
- 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.
Four-Pillar Framework
- Pillar (i): analyzing quantitative information on Derivatives activities.
- Pillar (ii): determining the adequacy of prudential regulations and supervisory arrangements.
- Pillar (iii): assessing the risk mitigation infrastructure.
- Pillar (iv): assessing the degree of market transparency of the derivatives activities of financial institutions.
Key findings and emphases
- The framework emphasizes use of supervisory and market-participant information for surveillance.
- Focus areas include prudential regulation adequacy, supervisory arrangements, risk mitigation infrastructure, market transparency, and quantitative analysis of derivatives positions and exposures.
Subject, keywords, and thematic scope
- Subject: Banking, Credit, Credit risk, Liquidity risk, Market risk
- Keywords: amount, credit derivative, derivative instrument, derivatives activity, risk, WP