The revised P&L attribution test and the suitability of new proposed thresholds

Adolfo Montoro, Marco Spinaci, Marc Georgi
05 Oct 2018

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

CLICK HERE TO VIEW THE PDF

CLICK HERE TO LISTEN TO ADOLFO MONTORO IN CONVERSATION

In this paper, Adolfo Montoro, Marco Spinaci and Marc Georgi study the performance of the Kolmogorov-Smirnov test and the Spearman rank test in determining desk failure under the profit & loss attribution test of the Fundamental Review of the Trading Book. The authors also analyse suitable thresholds for passing and failing under the test

Given the various critiques of the original profit & loss (P&L)

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to print this content. Please contact [email protected] to find out more.

You are currently unable to copy this content. Please contact [email protected] to find out more.

You may share this content using our article tools. Printing 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 [email protected]

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 [email protected]