Mathematical studies have cast further doubt on the profit and loss (P&L) attribution test included in the Fundamental review of the trading book (FRTB), with the authors doubtful that the test can ever be made to work as intended.
Peter Thompson and Hayden Luo of ANZ Bank and Kevin Fergusson of the University of Melbourne argue that banks should expect to have a significant number of desks awaiting re-accreditation after failing the test at any one time – meaning that the test will be too cost
The week on Risk.net, October 6-12, 2017Receive this by email
- SGX, HKEX expect to be among first wave of Mifid II equivalence
- Quantile, TriOptima face off in cleared swaps compression battle
- Leaked EU doc could shield legacy swaps from clearing grab
- ABS set for revival under US Treasury’s liquidity buffer plans
- Quants stymied by lack of alternative risk premia flows data