IHS Markit: The P&L Attribution Test - Going, Going, Gone?

The P&L attribution test (PLAT) is one of the most hotly debated topics in FRTB with industry experts doubtful whether the test can ever be made to work . In this article we review the goal of the test, summarise our empirical findings and speculate on what the future holds for PLAT.

In outline, PLAT assesses the difference between the P&L calculated by the front office and the P&L calculated in risk. If this difference – the unexplained P&L – is too big or too variable, then a breach is

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