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Hayden Luo
ANZ Bank
Hayden Luo is a Quantative Manager at ANZ Bank involved in the validation of in-house pricing and risk models, covering mainly FX and interest rate exotic derivatives.
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Articles by Hayden Luo
The profit-and-loss attribution test
In this paper, the authors analyze the failure probabilities of the profit-and-loss attribution (PLA) test as defined in the final market risk standard published in January 2016 by the Basel Committee on Banking Supervision.