EBA plans reboot of FRTB’s P&L test

Authority will explore wider range of options than outlined in CRR text

The European Banking Authority (EBA) will start from first principles as it draws up a crucial test for banks that want to model their market risk capital requirements – an opening that will delight critics of the international version of the rules.

Banks have claimed the P&L attribution test is too sensitive and will be nearly impossible to pass without a painful systems revamp. It aims to make sure bank capital models are in line with those used to price and value trades, but a discussion