A review of the fundamentals of the Fundamental Review of the Trading Book II: asymmetries, anomalies, and simple remedies

Autor: Hany M. Farag

Publikováno v: Journal of Risk. 20:99-128

In this paper, we highlight some anomalies in both the standardized approach (SA) and the internal models approach (IMA) of the Fundamental Review of the Trading Book (FRTB) that may not be well known. These anomalies may be unintentional and simply

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::797167503c88ea79b2c0dd3a4f676967
https://doi.org/10.21314/jor.2018.412

Leveling The Playing Field in FRTB's FX Rules: A Simple Solution with an Elementary Proof

Autor: Hany M. Farag

Publikováno v: SSRN Electronic Journal.

The FRTB's standardized approach (SA), as it stands, contains a strong unintended asymmetry that can disadvantage some banks, depending on their reporting currencies. In recently published work the author conducted a comprehensive analysis of the mat

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::9ec84f30b899fd246b02835c451f31f4
https://doi.org/10.2139/ssrn.3192181

Backtesting Distributional Forecasts in Counterparty Risk: Theoretical Aspects in Long Horizon Testing and Autocorrelations

Autor: Hany M. Farag

Publikováno v: SSRN Electronic Journal.

In this paper we address a challenging aspect that arises in the regulatory requirement of back-testing the accuracy of distributional forecasts. The latter are core to measurement and capitalization of counterparty risk for banks under the IMM (Inte

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::5b8baee12acd70eea098194765f4bd4c
https://doi.org/10.2139/ssrn.2930047

On the 1/2-Problem of Besicovitch: quasi-arcs do not contain sharp saw-teeth

Autor: Hany M. Farag

Publikováno v: Rev. Mat. Iberoamericana 18, no. 1 (2002), 17-40

In this paper we give an alternative proof of our recent result that totally unrectifiable 1-sets which satisfy a measure-theoretic flatness condition at almost every point and sufficiently small scales, satisfy Besicovitch's 1/2-Conjecture which sta

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9cf4930d9f595addb0cd3f88cf9107ca
https://doi.org/10.4171/rmi/310

The Riesz kernels do not give rise to higher dimensional analogues of the Menger-Melnikov curvature

Autor: Hany M. Farag

Publikováno v: Recercat: Dipósit de la Recerca de Catalunya
Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
Dipòsit Digital de Documents de la UAB
Universitat Autònoma de Barcelona
Recercat. Dipósit de la Recerca de Catalunya
instname

Ever since the discovery of the connection between the Menger-Melnikov curvature and the Cauchy kernel in the $L^{2}$ norm, and its impressive utility in the analytic capacity problem, higher dimensional analogues have been coveted. The lesson from 1

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::74f71c057c034f9bf1c2db3b73f132e7
https://doi.org/10.5565/publmat_43199_11