Hany Farag

CIBC World Markets - Risk Quant, Capital Markets, CIBC

Head of Methodology and Analytics

161 Bay Street

Toronto, Ontario M5J 2S8

Canada

SCHOLARLY PAPERS

5

DOWNLOADS

964

SSRN CITATIONS

4

CROSSREF CITATIONS

4

Scholarly Papers (5)

A Review of the Fundamentals of the Fundamental Review of the Trading Book II: Asymmetries, Anomalies, and Simple Remedies

Number of pages: 27 Posted: 09 Aug 2017 Last Revised: 09 Jun 2018
Hany Farag
CIBC World Markets - Risk Quant, Capital Markets, CIBC
Downloads 429 (80,017)

Abstract:

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FRTB, market risk, Standardized Approach, Fundamental Review, Trading Book, Internal Models Approach

A Review of the Fundamentals of the Fundamental Review of the Trading Book II: Asymmetries, Anomalies, and Simple Remedies

Journal of Risk, Vol. 20, No. 6, 2018
Number of pages: 30 Posted: 31 Aug 2018
Hany Farag
CIBC World Markets - Risk Quant, Capital Markets, CIBC
Downloads 2 (777,511)
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Fundamental Review of the Trading Book (FRTB), standardized approach (SA), internal models approach (IMA), market risk, Basel III reforms

2.

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

Number of pages: 14 Posted: 09 Mar 2017
Hany Farag
CIBC World Markets - Risk Quant, Capital Markets, CIBC
Downloads 223 (162,987)
Citation 1

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Backtesting, IMM, counterparty risk, long-horizon forecasts

3.

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

Number of pages: 7 Posted: 09 Jun 2018 Last Revised: 01 Jul 2018
Hany Farag
CIBC World Markets - Risk Quant, Capital Markets, CIBC
Downloads 180 (198,298)
Citation 1

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FRTB, SA, Standardized Approach, FX, FX Curvature, FX Delta, Reporting Currency

4.

Backtesting Distributional Forecasts in Counterparty Risk II: Empirical Results for Long Horizon Testing

Number of pages: 36 Posted: 28 May 2017
Hany Farag and Minyao Zhou
CIBC World Markets - Risk Quant, Capital Markets, CIBC and McMaster University, Faculty of Science, Department of Mathematics and Statistics, Students
Downloads 128 (262,268)
Citation 1

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IMM, backtesting, empirical, BCBS, Internal models method, long horizon backtesting, distributional forecasts

5.

A Review of the Fundamentals of the Fundamental Review of the Trading Book: Standard Foreign Exchange Rules are Highly Asymmetric with Respect to Reporting Currencies

Journal of Risk, Vol. 19, No. 4, 2017
Number of pages: 28 Posted: 30 Mar 2017
Hany Farag
CIBC World Markets - Risk Quant, Capital Markets, CIBC
Downloads 2 (743,969)
Citation 1
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Abstract:

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Fundamental Review of the Trading Book (FRTB), standardized approach (SA), FX Delta charge, FX curvature charge, reporting currency