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” […]

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 […]

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 […]

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 […]

FRTB impact on business strategy

FRTB (or Minimal Capital Requirements for Market Risk, as BCBS would like us to know it now that it’s past the review stage, although I will keep using FRTB) has clearly non trivial impact on how […]

New market risk regulations – FRTB-CVA

The last part of the new market risk regulation are rules capitalising CVA risk. Hotfix of Basel 2.5 CVA is where most of the losses suffered by the banks in 2008-2009 happened, yet Basel 2 had […]