Internal Risk Transfers Under FRTB, Part C: Interest Rate Risk and the Dedicated Desk
Part B covered how internal risk transfer of credit and equity risk move from the banking book to the trading […]
Market Risk, Credit Risk and Operational Risks
Internal Risk Transfers Under FRTB, Part B: Credit and Equity Risk From Banking Book to Trading Book
Part A of this mini-series established the basics: an internal risk transfer is just an internal record of moving risk,
Internal Risk Transfers Under FRTB, Part A: What They Are and the One-Way Door Rule
In the last article, we mapped the boundary between the trading book and the banking book — which instruments belong
Trading Book vs Banking Book: Where FRTB Draws the Line
In our first article, we saw that a porous boundary between the trading book and the banking book was one
What Is FRTB? The Story Behind the New Market Risk Capital Rules
Every bank that trades bonds, equities, currencies, commodities, or derivatives has to answer one uncomfortable question every single day: how
Historical Simulation VaR: Complete Step-by-Step Guide
Quick Recap: One Method Down, Two To Go The previous article in this series covered the Parametric (Variance-Covariance) method —
Parametric VaR (Variance-Covariance Method): Complete Step-by-Step Guide
Quick Recap: What VaR Measures In the first article of this series, we defined Value at Risk (VaR) as a
SA-CCR – Adjusted Notional – All Asset Classes
Introduction Every ADCA in SA-CCR begins with one number: the Adjusted Notional. Before Supervisory Delta, Maturity Factor, or Supervisory Factor
SACCR – Maturity Factor – Margined, Unmargined, STM and Product Exceptions
Introduction In our SA-CCR series, every Adjusted Derivative Contract Amount (ADCA) is the product of four components: Adjusted Notional, Supervisory
SACCR – Supervisory Delta – Linear, Options, and CDO Tranches
Introduction In our SA-CCR series, every Adjusted Derivative Contract Amount (ADCA) is built from four components multiplied together: Adjusted Notional,