Thread by @jeuasommenulle

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!

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.