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Running and passing the FRTB P&L attribution test
Sponsored webinar: Murex
As capital markets players realise the impact of FRTB will run deep across a trading organisation, many are considering the flexibility offered by desk-level approval for the internal models approach
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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Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net