REFERENCIAS DE VALORACIÓN
- Capital Markets instruments, analysis and valuation (2002), by Moorad Choudhry, Didier Joannas
- Value at Risk models (2008), by Carol Alexander
- Pricing, hedging, and trading financial instruments (2008), by Carol Alexander
- Quantitative methods in finance (Mayo 2008), by Carol Alexander
- Interest rate models: theory and practice (Agosto 2001), by Fabio Mercurio, Damiano Brigo
- Volatility master class for Quants (April 2008), by Bruno Dupire
- The volatility surface (Agosto 2006), by Jim Gatheral
- Advance equity derivatives: volatility and correlation (Mayo 2014), by Sebastien Bossu
- Option volatility and pricing (Agosto 1994), by Sheldon Natenberg
- Investment and portfolio management (2011), by Bodei, Kane and Marcus
- Fixed Income securities (April 1995), by Bruce Tuckman – Angel Serrat
REFERENCIAS DE REGULACIÓN
- RTS on emerging markets and advanced economies – EBA, Febrero 2021
Regulatory Technical Standards on emerging markets and advanced economies.
- RTS on residual risk add-on – EBA, Marzo 2021
- RTS on gross jump-to-default amounts – EBA, Marzo 2021
- Guidelines on criteria for the use of data inputs in the expected shortfall risk measure under the IMA – EBA, Agosto 2020
- RTS on default probabilities and losses given default for default risk model under the Fundamental Review of the Trading Book – EBA, Julio 2020
- RTS on the capitalisation of non-modellable risk factors under the FRTB – EBA, Diciembre 2020
- RTS on the treatment of non-trading book positions subject to foreign-exchange risk or commodity risk – EBA, Diciembre 2020
- Guidelines on the treatment of structural FX – EBA, Julio 2020
- RTS on prudent valuation – EBA, Enero 2015
- RTS on the conditions for assessing the materiality of extensions and changes of internal approaches for credit, market and operational risk – EBA, Julio 2014
- Guidelines on the Incremental Default and Migration Risk Charge (IRC) – EBA, Marzo 2012
- Guidelines on Stressed Value-At-Risk (Stressed VaR) – EBA, Febrero 2012
Documentos de la EBA
https://www.bankingsupervision.europa.eu/press/publications/newsletter/2021/html/ssm.nl210519_5.en.html
