Vlad Ender

2.3.2017

BCBS publishes FRTB FAQ – but does it help?

I wrote and said a number of times, that while BCBS tried hard to set up clear rules around FRTB, it still retained a large number of ambiguities – ones that would have to be resolved by the […]
6.2.2017

FRTB Webinar

I  co-presented an FRTB Webinar with Quantifi Solutions’s Head of Research Dmitry Pugachevsky. The webinar was based on our co-written whitepaper. Dmitry covered the new proposed the new proposed CVA rules, while I covered the “main” […]
8.12.2016

FRTB – first localisation is here

So, the first draft localization of FRTB is out. Two weeks ago European Commission published its proposal to amend the rules on capital requirements, which along with other new regulation include incorporating FRTB. The proposal can […]
14.11.2016

To SA or not to SA

One of the important questions with the upcoming FRTB regulation is “Should we still try to stay on IMA or just use SA?” Historically, just about every institution wanted to have IMA. Not only was the […]
17.10.2016

Non Modellable Risk Factors

One of the newly introduced concept in FRTB are non-modellable risk factors. This is likely going to be one of important issues in FRTB implementation, for a number of reasons. First, let’s recap what the regulation means […]
21.9.2016

ISDA SIMM for uncleared derivatives – Enhanced Delta Plus v2?

From September 1, the new rules for margining uncleared derivatives are live – at least for US and Japanese companies (EU delayed the implementation earlier this year). The rules now cover only the initial margin, but […]