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Running and Passing the FRTB P&L Attribution Test

As capital markets players realise that the impact of FRTB will run deep across a trading organization, many are considering the flexibility offered by desk-level approval for the Internal Models Approach. There is a genuine concern at the achievability of aligning trading and risk P&L sufficiently to overcome the P&L attribution test hurdle. This webinar delves right into this challenge.

In this online panel expert speakers delve into the following topics:

  • Attribution testing requirements
  • Risk factor selection and associated calculations: A vanilla interest rate option case study
  • Potential differences between valuation and risk/capital model methodologies, data and configuration aligning front office and risk model
  • Do we have enough clarity on definitions regarding the P&L Attribution Test? What needs clarifying before implementation
  • Additional operational and market considerations affecting test effectiveness
  • Which tools can reduce the burden of the P&L test on the risk function?