Hany M. Farag

CIBC

Hany Farag is Senior Director and Head of Risk Methodology and Analytics at Canadian Imperial Bank of Commerce (CIBC). Prior to his current position he was a partner at Eastmoor Capital Partners, LLP; Managing Director and Head of FX Statistical Arbitrage at CIBC; and Head of Quantitative Research at OANDA Corporation. Prior to his industry positions he was a Postdoctoral Fellow at Caltech and at Rice University. He holds a PhD in Mathematical Analysis from Yale, a MS in Theoretical Physics from Yale, and a BSC in Electrical and Communication Engineering from Ain Shams.

Articles by Hany M. Farag

Original research

A review of the fundamentals of the Fundamental Review of the Trading Book II: asymmetries, anomalies, and simple remedies

This paper highlights some anomalies and asymmetries in the new market risk paradigm of the Fundamental Review of the Trading Book (FRTB) framework.

15 Aug 2018

Original research

A review of the fundamentals of the Fundamental Review of the Trading Book: standard foreign exchange rules are highly asymmetric with respect to reporting currencies

This paper develops a framework to fully characterize the invariance of the Delta capital charge for the FX book under a change in reporting currency.

30 Mar 2017

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