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Capital/FRTB
FRTB Standardised Approach for the Trading Book (SA-TB, BCBS 325)
FRTB Basic Approach for CVA (BA-CVA, BCBS 325)
FRTB Standardised Approach for CVA (SA-CVA, BCBS 325)
Models
Margin Period of Risk
Andersen Pykhtin Sokol
Classical
Papers
Andersen Pykhtin Sokol 2016
Figure 2
Vanilla Swap 1Y Tests
Aggressive Calibration Test
Classical Calibration Test
Conservative Calibration Test
Figure 4
Vanilla Swap 10Y Tests
Aggressive Calibration Test
Conservative Calibration Test
Figure 5
Xccy Swap 10Y Tests
Aggressive Calibration Test
Conservative Calibration Test
Figure 6
Vanilla Swap Portfolio Tests
Aggressive Calibration Test
Conservative Calibration Test
Figure 7
Xccy Swap Portfolio Tests
Aggressive Calibration Test
Conservative Calibration Test
Figure 9
Vanilla Swap 1Y Tests
Conservative Aligned Test
Conservative Non Aligned Test
Figure 10
Vanilla Swap 10Y Tests
Conservative Initial Margin Test
Figure 11
Vanilla Swap Portfolio Tests
Conservative Initial Margin Test
Xccy Swap Portfolio Tests
Conservative Initial Margin Test
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Home
Capital/FRTB
FRTB Standardised Approach for the Trading Book (SA-TB, BCBS 325)
FRTB Basic Approach for CVA (BA-CVA, BCBS 325)
FRTB Standardised Approach for CVA (SA-CVA, BCBS 325)
Models
Margin Period of Risk
Papers
Andersen Pykhtin Sokol 2016
About
Copyright
License
Register