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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

Journal of Risk Model Validation
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.