Global Correspondence
GFMA, IIF and ISDA Submit Additional Comments to the BCBS on Trading Book
GFMA, the International Swaps and Derivatives Association, Inc. (ISDA) and the Institute of International Finance provide a further response to the Basel Committee on Banking Supervision (BCBS) on the Consultative Document: Fundamental Review of the Trading Book dated May 2012. This paper follows the earlier paper on Diversification and Model Approval. It addresses the calibration of the two parameters presented in the previous paper; Alpha which governs diversification benefit and Beta which controls the penalty for poor model performance. The groups also submit a short paper on the use of the Kalman Filter.
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