I haven’t published anything for a year. Not that there wasn’t anything to do on the FRTB front, but I was busy with another project of mine – a BOOK!

Now it’s done, and I’d like to thank my co-authors Mark Aarons and Andrew Wilkinson, all the folk at Wiley Publishing UK, my family, and all the others who helped.

Securitisation Swaps – Practicioner’s Handbook will be available mid January, and you can preorder it here.

It covers area which is often overlooked in the securitisation, even if it can cause a lot of headaches – for the investors (unexpected security downgrade, due to a swap provider downgrade), securitisers (costs of the swap), swap provider (risk associated with the swaps). We wrote the book as a practical handbook for all professionals involved in the process, although structurers and risk professionals will likely benefit most.

I will ask Wiley whether I can publish a sample chapter, most likely the introduction on my web.