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 […]
Market Risk, Credit Risk and Operational Risks
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,
Value At Risk (VaR) – Introduction
What Is Value at Risk? Starting From the Very Basics Imagine you’re about to drive from Mumbai to Pune. Before
SACCR – Margin Period of Risk (MPOR) – Part 2
In the last article, we read about what is MPOR and how is it used under SA-CCR. Now we will
SACCR – Margin Period of Risk (MPOR) – Part 1
Introduction Every article in this SA-CCR series has used the Maturity Factor to scale each trade’s Adjusted Derivative Contract Amount