Tag: Capital

IQ | July 1, 2016

The Pendulum Swings: Basel Committee Shifts Away from Internal Models – Vol 2, Issue 3: July 2016

This issue of IQ looks at the proposed changes to the use of internal models,... Read more The Pendulum Swings: Basel Committee Shifts Away from Internal Models - Vol 2, Issue 3: July 2016

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Documentation | March 26, 2014

Standard Initial Margin Model for Non-Cleared Derivatives: White Paper and Appendix

A whitepaper discussing the SIMM for non-cleared derivatives was published by ISDA in December 2013.... Read more Standard Initial Margin Model for Non-Cleared Derivatives: White Paper and Appendix

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Research Notes | June 13, 2011

A Note on the Impossibility of Correctly Calibrating the Current Exposure Method for Large OTC Derivatives Portfolios

The Basel Committee permits firms to use a variety of methods to calculate regulatory capital... Read more A Note on the Impossibility of Correctly Calibrating the Current Exposure Method for Large OTC Derivatives Portfolios

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