Hany Farag argues that changing the base currency may address FRTB forex asymmetry
Acerbi and Szekely present a backtest for expected shortfall
Quants propose an allocation method for internal model capital charges
Montoro, Spinaci and Georgi assess the effectiveness of the FRTB’s P&L attribution test
Wujiang Lou develops a parametric haircut model to conduct sensitivity tests and capture market liquidity risk
Chris Kenyon and Richard Kenyon show why initial margin should be part of the fair value of a derivative
Anfuso, Aziz, Loukopoulos and Giltinan propose a method to develop and backtest forecasting models for IM
Andersen, Pykhtin and Sokol show the existence of residual exposure after initial margin posting
Adolfo Montoro, Tim Becker and Lars Popken propose techniques for systematically capturing and categorising non-modellable risk factors and risk-adequate aggregation
Comments on the Basel Committee on Banking Supervision proposal for a new standardized approach for operational risk
In this paper, the behavior of the SMA is studied under a variety of hypothetical and realistic conditions, showing that the simplicity of the new approach is very costly.
Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?
This paper discusses and studies the weaknesses and pitfalls of the SMA and the implicit relationship between the SMA capital model and systemic risk in the banking sector.
An accounting treatment for the economic effect of KVA in accordance with IFRS13
Torresetti and Le Pera explore the relevance of the diversification benefit from a theoretical and practical viewpoint
Three easy-to-implement methods for back-testing expected shortfall
Regulators require banks to use an internal model to compute a capital charge for operational risk, which is thought to be sensitive to assumptions on dependence between losses that still remain a matter of debate. Vivien Brunel proposes an analytical…
The credit valuation adjustment (CVA) capital charge in Basel III comes in two flavours: advanced (simulations) and standardised (formula). In this article, Michael Pykhtin shows that the standardised CVA charge formula can be obtained by adding several…
Don’t say we didn’t warn you
The origins of CVA
The year of CVA