Risk Theoretical PnL under the FRTB

Risk Theoretical PnL One of the areas that is causing some concern and confusion is the idea of the Risk Theoretical PnL that is quite prominent in the FRTB regulatory paper from the BIS. The idea behind this is better alignment of risk models to front office pricing...

FRTB – Backtesting and P&L attribution

FRTB Model Validation Framework One of the big areas of change in the FRTB regulations is that the regulators will be far more prescriptive about model validation. What this means is that banks will be required to carry out quite stringent backtesting of the their...