The Fundamental Review of the Trading Book (FRTB) is a set of regulations by the Basel committee, which is expected to be implemented by banks by 2022. The regulation targets market risk management in banking industry. According to FRTB, banks need to post extra capital against non-modellable risk factors, which could account for 30% of […]

The Fundamental Review of the Trading Book (FRTB) is a set of regulations by the Basel committee, which is expected to be implemented by banks by 2022. The regulation targets market risk management in banking industry. The regulation targets market risk management in banking industry. According to FRTB, banks must decompose funds that can be […]

Upcoming changes to financial regulation and oversight are creating increased demands for the accurate measurement of financial market risks and the provisioning of adequate economic capital to ensure that financial institutions can withstand market shocks and extreme events. The objective of this research project is to study issues related to the theory, performance, and practical […]

In order to properly manage the risks associated with trading complex financial products, CIBC carries out computationally expensive calculations to properly assess their exposure to various market factors. To make these computations more feasible, it is of interest to find new, efficient and approximate mathematical formulas to compute such exposures. It is also important to […]

Adoption of an activity-based workspace is rapidly increasing. Employees in activity-based workspaces do not have a set workstation. Instead, employees can choose from a variety of workstations (e.g. desks, lounge space, quiet offices) according to their needs. Despite increasing adoption, we know little about the impact of activity-based workplaces on employee wellness, satisfaction, and productivity. […]