Search: ISDA
RBA Glossary definition for ISDA
ISDA – International Swaps and Derivatives Association
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Data and Exposure Analysis
29 Sep 2015
RDP
2015-02
large banks (ISDA 2014).
https://www.rba.gov.au/publications/rdp/2015/2015-02/data-exposure-analysis.html
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Central Counterparty Loss Allocation and Transmission of Financial Stress
16 Mar 2015
RDP
PDF
1285KB
There have been a number of attempts to estimate the magnitude of this increase in demand (Heller and Vause 2012; ISDA, IIF and AFME 2012; Levels and. ... One mechanism for uncovered loss allocation that has been widely debated, and in some cases adopted,
https://www.rba.gov.au/publications/rdp/2015/pdf/rdp2015-02.pdf
Default Risk and Derivatives: An Empirical Analysis of Bilateral Netting
30 Nov 2009
RDP
PDF
104KB
Forinstance, the International Swap Dealers' Association (ISDA) has suggested scalingthe existing add-ons by the ratio of net to gross market values. ... The ISDA ratio is also inappropriate whenusing (4), as this would assume that all out-of-the-money
https://www.rba.gov.au/publications/rdp/1994/pdf/rdp9409.pdf
Results
1 Dec 1994
RDP
9409
The second group of capital charges are those suggested by ISDA and are denoted in Table 9 as ISDAC1, ISDAC2 and ISDAC3. ... 0.4293. Note:. a. ISDAC6 is the conventional ISDA formulation calculated with b set equal to 0.6.
https://www.rba.gov.au/publications/rdp/1994/9409/result.html
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