Running and passing the FRTB P&L attribution test

Sponsored webinar: Murex

The panel

  • Pierre Guerrier, Market risk specialist, Murex
  • Nicolae Mera, Head of FRTB and RNIV models and methodology, MLRM, Credit Suisse
  • Ridha Mahfoudhi, Head of market risk models development, National Bank of Canada
  • Adolfo Montoro, Director, Risk methodology, Deutsche Bank
  • Moderator: Tom Osborn, Editor, Risk management, Risk.net

As capital markets players realise the impact of FRTB will run deep across trading organisations, many are considering the flexibility offered by desk-level approval for the internal models approach. However, there is concern about the achievability of aligning trading and risk profit and loss sufficiently to overcome the P&L attribution test hurdle. This webinar examines this challenge, in which our panel discusses:

  • Attribution testing requirements.
  • Risk-factor selection and associated calculations – a vanilla interest rate option case study.
  • The potential differences between valuation and risk/capital model methodologies, data and configuration aligning front office and risk models.
  • Is there enough clarity on definitions regarding the P&L attribution test? What must be clarified before implementation?
  • Additional operational and market considerations affecting test effectiveness.
  • The tools that can reduce the burden of the P&L test on the risk function.
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