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Podcast: Olivier Daviaud on P&L attribution for options

JP Morgan quant discusses his alternative to Greeks decomposition ....

Societe Generale , Olivier Daviaud , Abhishek Mukhopadhyay , Jp Morgan , Cross Gamma , Delta Hedging , Implied Volatility , Option Pricing , P Ampl Attribution Test , Performance Attribution , Profit Amp Lossp Ampl , Realised Volatility , Cutting Edge ,

Revealed: the three EU banks applying for IMA approval

BNP Paribas, Deutsche Bank and Intesa Sanpaolo ask ECB to use internal models for FRTB ....

Intesa Sanpaolo , Deutsche Bank , European Union , Bnp Paribas , Deutsche Bank , European Central Bank Ecb , Intesa Sanpaolo , Capital Requirements , Internal Models , Nternal Models Approach Ima , Market Risk , P Ampl Attribution Test , Risk Management , Ingle Supervisory Mechanism Ssm , Standardised Approaches , Trading Book ,

Regulators' FRTB estimates based on faulty premise – industry study

US market risk capital requirements could more than double if banks abandon IMA ....

International Swaps , Derivatives Association , Financial Markets Association , Securities Industry , Federal Deposit Insurance Corporation Fdic , Federal Reserve , Office Of The Comptroller Currency Occ , International Swaps And Derivatives Association Isda , Securities Industry And Financial Markets Association Sifma , Nited States Us , North America , Basel Iii , On Modellable Risk Factors Nmrf , P Ampl Attribution Test , Nternal Models Approach Ima , Ensitivities Based Approach Sba , Standardised Approaches , Capital Requirements ,

FRTB could put Indian banks at competitive disadvantage

Simplified approach could leave local banks with higher capital charges than foreign branches ....

Reserve Bank Of India Rbi , Basel Committee On Banking Supervision Bcbs , Market Risk , Capital Requirements , Basel Iii , Cross Border Trading , P Ampl Attribution Test , Ensitivities Based Approach Sba , Simplified Standardised Approach , Nternal Models Approach Ima ,

FRTB managers face hard facts about risk factors

There are ways to reduce the capital charges caused by NMRFs, but they come at a price ....

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