Marc Henrard - Multi-curve framework

Yesterday night, I finish reading a book. This morning, I was wondering what to do next. Weather is not good enough to play golf, and I was reduced to start a reading a new book or let my imagination wander. I choose the latter, and from imagination to imaginary there was only a short step. And from imaginary to imaginary capital and FRTB another short step. So I decided to create a simple swap position with imaginary capital according to the standard approach of the FRTB. Creating the matrix in rule 77: 10 lines of (Matlab) code. Finding the not positively defined sub-matrices of dimension 3 of the qbove: 10 lines of (Matlab) code Creating an actual position and computing its risk weighted sensitivity and FRTB capital: 50 lines of (Java) code Result: priceless! Priceless has to be understood as the capital required to hold that position is imaginary, and you can not buy imagination for any price! Maybe a little bit more details about the computation. First step is creating ...

The BCBS published it new “ Minimum capital requirements for market risk ”. When the last consultative paper on the Fundamental Review of the Trading Book was published in December 2014, I send my comments to the BCBS. The blog related to my comments is here . From my comments, I would say there are some wins and some losses. Unfortunately, the losses outweighs the wins. Win One of my comments was regarding the scaling of the numbers. The Committee had clearly proposed incoherent numbers with final capital 10,000 times larger than the expected numbers. A missing basis point in some formula . Fortunately the Committee has corrected that. The correction was not in the sense I expected. Roughly the capital required for interest rate risk is the “PV01” multiplied by a risk weight. The choice was between describing PV01 as the “present value of one basis point” or dividing the weights by 10,000. The Committee selected the latter! This means that the official definition of PV01 fo...

My LinkedIn headline could have been Compulsive buyer, reader and collector of books. I built (or more exactly I designed it and had it built for me) a two storey library. It roughly six meters wide and five meters high. It contains thousand of books and weight several tons . All that to say I love books, I’m addicted to them. My addiction took a new turn recently when I published my first full book. Now I’m also addicted to writing. You may have seen my announcement for a new book . The new headline is Compulsive buyer, reader, collector and writer of books. Being in love and addicted, you could expect subjectivity from me. Nevertheless find below my objective and dispassionate opinion about books. Books are expensive, too expensive , … if you want or need to buy them. For a hardcover book you pay 60 GBP, 15% of it is the actual cost of the physical book, the rest is immaterial: author royalties and services (editor and retailer). And believe me, the author royalties wil...

The first draft of my forthcoming book on Algorithmic Differentiation has been send to the editor. The optimistic expectation is that in will be available in print in May 2016 . Only four months to wait!