1. N

    FRTB, ES waterfall practical application

    Hello, everyone For proposed IMA approach with the ES waterfall we have for example the following calculation: "ES2 is calculated as a 10-day shock in categories 2-5, holding category 1 constant". I cannot understand how this is done in practical terms. So, we have selected the 250-day...
  2. O

    Counterparty credit risk in FRTB and CVA

    Hi @David Harper CFA FRM , I'm trying to understand the interactions between FRTB and CVA. There's 'default risk charge' in FRTB, where the gross jump to default is calculated for each instrument. Is this an overlap of what CVA tries to address? If FRTB already requires capital to the held...
  3. Nicole Seaman

    P2.T7.609. Fundamental Review of the Trading Book: expected shortfall and credit trades (Hull)

    Learning objectives: Compare the various liquidity horizons proposed by the FRTB for different asset classes and explain how a bank can calculate its expected shortfall using the various horizons. Explain proposed modifications to Basel regulations in the following areas: classification of...
  4. David Harper CFA FRM

    P2.T7.608. Fundamental Review of the Trading Book (Hull)

    Learning objective: Describe the proposed changes to the Basel market risk capital calculation and the motivations for these changes, and calculate the market risk capital under this method. Questions: 608.1 In January 2016 the Basel Committee on Banking Supervision (BCBS) issued its Revised...