A Framework for the Surveillance of Derivatives Activities

Author/Editor:

Eva Gutierrez

Publication Date:

March 1, 2005

Electronic Access:

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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.

Series:

Working Paper No. 2005/061

Subject:

Banking Credit Credit risk Liquidity risk Market risk

English

Publication Date:

March 1, 2005

ISBN/ISSN:

9781451860801/1018-5941

Stock No:

WPIEA2005061

Pages:

25

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