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        • Andersen Pykhtin Sokol 2016
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          • FRTB Standardised Approach for the Trading Book (SA-TB, BCBS 352)
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        1. Papers
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        Andersen Pykhtin Sokol 2016

        • Overview
        • Tests
        Tests
        • Figure 2
          • Vanilla Swap 1Y Tests
            • VanillaSwap1yTests.cs
          • Figure 4
            • Figure 5
              • Figure 6
                • Figure 7
                  • Figure 9
                    • Figure 10
                      • Figure 11
                        1. Tests

                        Figure 2

                        Trade

                        USD10MM 1-year payer swap, 2% coupon; fixed and floating coupons paid quarterly.

                        Model

                        Scenarios computed by a Hull-White model, with the initial yield curve flat at 2%, Gaussian (basis point) volatility of 1%, and mean reversion speed of 5%.

                        Exposure

                        Expected exposures are computed by brute-force daily simulation using Classical+, Classical-, and Conservative models, where the MPR of the Classical methods is set to 15 bdays. The margin agreement uses daily margin transfers, no thresholds, and no MTA/rounding.

                        Table of Contents

                        Vanilla Swap 1Y Tests
                        VanillaSwap1yTests.cs
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