Counterparty Risk Management Policy Group (CRMPG): Improving Counterparty Risk Management
CM-B.2.3
This report (see www.isda.org/educat/pdf/CRMPG-report6-99.pdf), which was developed by a committee of market practitioners in the wake of the 1998 market disruptions, discusses
counterparty credit risk and market risk management practices and how they can be enhanced.CM-B.2.4
The report covers four subject areas: transparency and
counterparty credit assessments; risk measurement, management, and reporting; market practices and conventions; and regulatory reporting.CM-B.2.5
Of particular interest to risk managers is guidance provided in two areas, one on liquidity risk and leverage, and the other on
counterparty creditexposure estimation.
