C Louiza

risk market derivatives stress test commodities pd basel 2 eba rwa frtb (fundamental review of the trading book).base es (expected shortfall) ccar stress testing dodd frank historical/ monte-carlo/ variance-covariance crm (incremental risk charge) irc (comprehensive risk measure) rating scale gini var (value-at-risk) basel iii capital charge low default portfolio basel 3 liquidity value-at-risk cva collateral scoring optimization lgd credit risk var model review hedging options gamma exotic trading barrier commodi rate risk trading book