Now available to RMA members and nonmembers, this study indicates how institutions use information technology to measure and monitor risk.
Philadelphia, PA (February 21, 2007)—The results of The Risk Management Association (RMA) Trading Activities and Counterparty Risks Survey provide detailed information on the current state of practice and planned developments. RMA is making the survey results available to both members and nonmembers.
Conducted by RMA’s Market Risk Council, the survey is part of an ongoing, long-term effort by RMA to identify best practices and provide an ongoing benchmark to help members understand market risk. And it is expected to provide the basis for further exchanges of information.
“This survey really achieved the goals of the Market Risk Council, one of which is to conduct a comprehensive survey of industry practices for trading activities and counterparty risks,” said Bryan Osmar, a member of the council and senior vice president, Market and Trading Credit Risk, at the Royal Bank of Canada.
Lloyd Plenty, managing director, BNP Paribas, agreed the survey was valuable to the industry. “The RMA survey results provide very useful insights into trends and patterns in the continuing evolution of risk management best practices, covering a wide scope of activities in practical detail,” he said.
Forty-five global institutions based in North America, Europe, and Asia took part in this Web-based study, and they received the results in November 2006. The 330-page final report provides a benchmark for best practices in trading activities and counterparty credit risk. It also provides information about how institutions use IT to measure and monitor risk.
“Users will find the results of the survey valuable when benchmarking their institution to current best practices. This is most helpful when discussing areas of need with management and showing regulators where the institution stands in relation to the industry,” said Curtis Knight, RMA’s director of market risk and securities lending.
Information about market risk trading activities was obtained from participants with regard to the following areas:
- Organizational structure
- Data
- Measurement
- Techniques and methodologies
- Valuation practices
- Scenario analysis
- Limits setting and reporting
- Actual risk measurement results
- Capital allocation
Counterparty credit risk information was obtained from participants with regard to the following areas:
- Methodology
- Credit standards
- Netting
- Derivatives trading supported by collateral
- Derivatives trading with recouponing
- Early termination clauses (ETCs)
- Repo trading
- Credit risk IT structure and architecture
This is the fifth in a series of market risk studies being conducted by RMA to identify best practices and provide an ongoing benchmark in these areas. A synopsis of the trading activities summary (PDF) is available at http://www.rmahq.org/RMA/MarketRisk.
Institutions seeking to obtain more information about this study or to take part in future market risk studies should contact Fran Garritt, RMA’s market risk manager at 215-446-4122.
To purchase the complete survey, please contact Loretta Spingler at 215-446-4081. The cost of the report is $1,495 for RMA members and $1,995 for nonmembers. Please ask for information about multiple-copy discounts.
About RMA
Founded in 1914, The Risk Management Association is a not-for-profit, member-driven professional association whose sole purpose is to advance the use of sound risk principles in the financial services industry. RMA promotes an enterprise-wide approach to risk management that focuses on credit risk, market risk, and operational risk. Headquartered in Philadelphia, Pennsylvania, RMA has 3,000 institutional members that include banks of all sizes as well as nonbank financial institutions. They are represented in the Association by 18,000 risk management professionals who are chapter members in financial centers throughout North America, Europe, and Asia/Pacific.
Contact:
Kathleen M. Beans
215-446-4099