P&L attribution test
Basel to scrap automatic fails for P&L test
“Amber zone” will protect near-miss desks, but regulators not convinced by NMRF complaints
Validation of profit and loss attribution models for equity derivatives
The aim of this paper is to validate profit and loss attribution generated by daily movements of option prices as seen through their Black–Scholes (Black and Scholes 1973) and Merton (1973) implied volatilities.
Banks make new push on FRTB’s P&L test
Industry calls for series of changes as regulators prepare new consultation, says Nomura’s Epperlein
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.
Basel delay does not ensure global FRTB consistency
A European Parliament draft would let supervisors decide response to P&L attribution test fails
The FRTB’s P&L attribution-based eligibility test: an alternative proposal
Spinaci, Benigno, Fraquelli and Montoro propose two alternatives to the P&L attribution test
FRTB: Basel mulls capital relief for internal model desk fails
Market risk group member describes intermediate capital charge for desks that marginally fail the P&L attribution test
Volcker desks unlikely to meet FRTB requirements
Some trading activities will need to be reorganised to comply with market risk rules
ECB tells IMA banks to apply before rules are complete
Dealers criticise “unreasonable” timetable for FRTB model approvals, revealed in September call
Adjusting to the P&L attribution test in FRTB
Consultants offer tips on eligibility framework for new internal models approach
EU lawmakers consider extending FRTB deadline
European Commission policy expert says current deadline is too ambitious
Basel group said to weigh changes to key FRTB test
EC and EBA officials criticise low pass rates for P&L attribution test
Industry divided on case for European phase-in of FRTB
Isda AGM: transition period may allow time for Basel to recalibrate rules, panellists note
P&L test in FRTB may not work – research
Delays in approval and small data sets may doom internal model approach, research finds
FRTB Special Report 2017
Confronting the challenges of FRTB in P&L attribution, non-modellable risk factors and technology
Q&A: EBA’s Vaillant on Basel IV, FRTB and CVA
Authority’s “key goal” in Basel talks has been to defend risk-sensitive capital framework
P&L attribution for energy portfolios with non-linear exposures
Carlos Blanco and Alessandro Mauro explain how non-linear P&L attribution tools can improve a company’s business intelligence capabilities
EBA plans reboot of FRTB’s P&L test
Authority will explore wider range of options than outlined in CRR text
FRTB: a Sisyphean labour
Banks continue to struggle with ever-shifting regulatory parameters
Seizing the opportunity of transformational change
Sponsored Q&A: CompatibL, Murex and Numerix
Solving the FRTB puzzle
Sponsored FRTB forum: IHS Markit
Webinar: Solving the FRTB puzzle
Sponsored webinar: IHS Markit
Basel group shake-up has banks hoping for FRTB changes
Barger and Durand replaced by BoE's Nesbitt; banks want fresh look at P&L test
Inconsistent FRTB model guidance vexes dealers
Risk models pulled in opposite directions by P&L attribution test and non-modellable risk factors