Survey of market risk trading.(

RMA surveyed 45 global institutions to capture the environment for market trading activities and counterparty credit risk. Participants related how their institutions approach organizational structure, data collection, measurement techniques and methodologies, valuation practices, scenario analysis, limits setting and reporting, actual risk measurement results, and capital allocation. Information gathered on counterparty risk include methodology, credit standards, netting, derivatives trading supported by collateral, derivatives trading with re-couponing, early-termination clauses, repo trading, and credit risk IT structure and architecture. The complete results of the survey were sent to the participants.

During the spring of 2006, RMA's Market Risk Council conducted RMA's first Trading Activities and Counterparty Risks Survey to determine the current state of practice and planned developments. The survey is part of an ongoing, long-term RMA effort to identify best practices and provide an ongoing benchmark to help RMA member institutions understand market risk. Forty-five large institutions based in North America, Europe, Australia and Asia participated in the Web-based survey, which resulted in a 330-page final report. Specifically, the study was designed to provide:

1. A benchmark by which participants can review the best practices of trading activities and counterparty risks.

2. A better picture of how institutions use technology to measure and monitor risk.

3. An aid to member institutions as they assess of the state of trading activities and counterparty risk metrics.

4. The basis for further exchange of information.

Market Risk Trading Activities

Information on market risk trading activities obtained from participants encompassed organizational structure, data collection, measurement techniques and methodologies, valuation practices, scenario analysis, limits setting and reporting, institutions' actual risk measurement results, and capital allocation.