Marc Henrard - Multi-curve framework

It had been my dream for many year now! A majestic library to store all my books. After a lot of design, planing and book carrying ... its here. More exactly it has been there for several months, but I had not reported on it. Two-storey, seven meters wide, five meter high, an embedded desk and a glass platform... I now have enough space to store all my books and the new one I'm buying. With a full shelve available to stored my multi-curve book (yet) unsold copies.   Two-storey Overview Glass platform Desk on the left

In December 2014, the Basel Committee on Banking Supervision (BCBS) issued a consultative paper on outstanding issues for its fundamental review of the trading book capital standards . The paper indicated that the Committee welcomed comments on the proposal. Some of the subjects described in the consultative document are related to the multi-curve framework. I provided  comments to the BCBS on some of the issues described in the document. In this blog, I describe how some of those comments are related to the book content. The comments made to the consultative paper are in principle public. The comments may be published on the BIS website. Even if the deadline for the comments was Friday 20 February 2015, the pages related to the consultative document have not changed since and the comments made are not publicly available yet. The link to my comments can be found at the bottom of this blog. Don’t hesitate to comment of my comments! The main items in my comments are: Curves ...