Kevin Fergusson

Centre for Actuarial Studies

Kevin Fergusson is a Lecturer in the Centre for Actuarial Studies at the University of Melbourne, specialising in quantitative modelling of financial and insurance products.

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Articles by Kevin Fergusson

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.