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

Montoro, Spinaci and Georgi assess the effectiveness of the FRTB’s P&L attribution test

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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) attributio

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