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    Infographic showing a 7-step process for calibrating FX option quotes into Heston model parameters for pricing FX barrier options.
    Fitting Risk Factors for FX Heston
    Risk factors used in derivative pricing models come in two forms:…
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FRTB

Credit Risk and FRTB

Credit Risk and FRTB

Charlie Browne on November 5, 2024
Credit spreads of various types are loaded into market data systems. They are used primarily for onward publishing to valuation…
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Understanding Regulatory Capital in the FRTB Document

Understanding Regulatory Capital in the FRTB Document

Charlie Browne on May 13, 2024October 16, 2025
I have recently written several notes about different aspects of FRTB. I also looked at the concept of regulatory capital,…
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