FRTB survey: banks fear high bar for P&L test
One bank expects all of its desks to fail the P&L attribution test
This is the second companion piece to Risk.net's forthcoming 2016 FRTB implementation survey. The full results will be published shortly.
More than half the banks in Risk.net's inaugural Fundamental review of the trading book (FRTB) implementation survey fear a significant number of their desks will lose approval to use the internal model approach (IMA) under the new regime. Six banks fear at least 20% of their trading desks will fail to gain IMA approval; two of them said a fail rate of 80% or
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