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Search: subject:"Fundamental Review of the Trading Book (FRTB) constraints"
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Fundamental Review of the Trading Book (FRTB) constraints
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market-risk
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profit-and-loss-attribution (PLA) test
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reactivity
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statistical hypothesis tests
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statistical robustness
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Paganini, Federico
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Pogliani, Alessandro
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The implicit constraints of Fundamental Review of the Trading Book profit-and-loss-attribution testing and a possible alternative framework
Pogliani, Alessandro
;
Paganini, Federico
;
Rata, Marilena
- In:
Journal of risk
21
(
2018/2019
)
4
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012059858
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