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Peter Thompson

ANZ Bank

Peter Thompson is a Risk Manager at ANZ Bank, with broad experience across the Basel regulatory capital framework, including the Fundamental Review of the Trading Book (FRTB).

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Articles by Peter Thompson

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.