The Vol 4. No. 1 Issue of the Numerix Journal, focuses on FRTB (the Fundamental Review of the Trading Book). In this issue, we include four Fundamental Review of the Trading Book papers, each exploring a different aspect of FRTB. The papers selected break down the underlying regulatory requirements, explain the implementation challenges, analyze the differences between IMA and SA, and look at the credit valuation adjustment (CVA) and initial margin frameworks.
The Numerix Journal is a periodic publication of research papers, articles, and shorter pieces on quantitative finance and financial software. The goal of the Journal is to serve as a forum for the introduction of new research, modeling methodologies, and presentation of performance and benchmark studies.
The Numerix Journal is a periodic publication of research papers, articles, and shorter pieces on quantitative finance and financial software. The goal of the Journal is to serve as a forum for the introduction of new research, modeling methodologies, and presentation of performance and benchmark studies. - See more at: https://www.numerix.com/numerix-journal-vol-2-no-2#sthash.3x8Hxhve.dpuf
TABLE OF CONTENTS
Editors Note
ARTICLES
Fundamental Review of the Trading Book: A New Direction in Banking Regulatory Capital
Fundamental Review of the Trading Book: Internal Model Approach to Market Risk Capital Calculations
Fundamental Review of the Trading Book: Standardized Approach to Market Risk Capital Calculations
Fundamental Review of the Trading Book: CVA and Initial Margin Frameworks
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