I doubt CSFB mismeasures risk-reversals in this fashion in its internal research and trading. I've never before seen %OTM as the metric, and for good reason.
Mahalanobis - 10. Nov, 12:26 Oops :: Basel Risk Weights
Businessweek writes:
The risk-weighting system is far too complex and too easily manipulated to provide ...
Mahalanobis - 5. Oct, 11:50 OTC Derivatives Clearing Technology
OTC Derivatives Clearing Technology: Bringing the Back Office to the Forefront (pdf), TABB Group (Summary)
related ...