As Credit Suisse is aware, Counterparty credit risk is so complicated, that almost all the formulas in the CRR had to be corrected two years later !
A thread!
A thread!
Ooops we forgot a floor in the duration calculation (btw this formula is still horribly wrong) 
Who’s the bloody intern who forgot the long-term bonds in the notional calculations!?
Seriously, no one told you that a number inside a square root has better be positive? (I mean CCR is complex, but not in *that* sense)
I can’t believe you made the same error TWICE!
When you say it out loud, SF sounds so much nicer than SK
You can’t sum on a null set, dude.
Rule number 1 of mathematical logic : if you open a parenthesis, you have to close it & vice versa. You might not seen it, but the computer will.
I can’t believe they took the wrong hedging set for non-electrical commodities. Rookie error.
Read it 23 times and see if you can find the error.
Yeah, I always make the same mistake when I price a bond. 1%, one Basis point, what’s the difference anyway. It’s only money.
Confusing notional and market value for a Jump to default… this will not end well.
Do you need an aspirin ?
Banking regulations are so complex that, after taking three years to draft a regulation, they have to publish a corrigendum two years after, because it was filled with errors.
I hope you feel reinsured.
I hope you feel reinsured.
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