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Notes on low-latency trading systems, market risk engines, and quantitative engineering.
· 11 min read
FRTB for Engineers: What a Market Risk Capital Engine Actually Computes
A systems view of the Fundamental Review of the Trading Book: Expected Shortfall with liquidity horizons, NMRF stress scenarios, the Default Risk Charge, the Sensitivities-Based Method, and the PLA and backtesting tests that decide whether a desk may use its internal model.
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