Running and passing the FRTB P&L attribution test

As capital markets players realise the impact of FRTB will run deep across trading organisations, many are considering the flexibility offered by desk-level approval for the internal models approach. However, there is concern about the achievability of aligning trading and risk profit and loss sufficiently to overcome the P&L attribution test hurdle. This webinar examines this challenge, in which our panel discusses:

• Attribution testing requirements.
• Risk-factor selection and associated calculations – a vanilla interest rate option case study.
• The potential differences between valuation and risk/capital model methodologies, data and configuration aligning front office and risk models.
• Is there enough clarity on definitions regarding the P&L attribution test? What must be clarified before implementation?
• Additional operational and market considerations affecting test effectiveness.
• The tools that can reduce the burden of the P&L test on the risk function.

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