EBA plans reboot of FRTB’s P&L test

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

European Banking Authority headquarters

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

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