correlation
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The End of America First? Stock Index Relative Value Analysis: US vs EU/UK/Japan
No, I am not talking about US administration policy before Biden’s, I am talking about stock index trend between US market vs other 3 major markets (EU, UK, Japan), which has been there since the great recession of 2008 for more than 12 years. I noticed it the first time around 2 years ago, but with latest Coronacrisis and turmoil in bond market lately, this trend might be about to change. Motivation In my previous article explaining the relationship between bond market and stock market by comparing 10-year treasury bond yield (risk-free rate) and
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Basel 4 in January 2023, R U Ready?
This week, I was busy giving presentation towards market risk colleagues in Indonesia, coming from various local and multinational banks. The topic is about the new FRTB standards (Fundamental Review of the Trading Book), the foundation of the new minimum capital requirements for market risk within the new Basel 4 framework. It is expected to go live in January 2023, after one year postponement taken into account due to Covid-19. The new standards will go live together with other Basel 4 updated components, such as CVA and credit risk. While some banks have spent both time and resources to tackle