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FRTB: P&L Attribution Challenges

by admin 3 min read
27 March 2017, Steve Hicks A year after Basel’s new Minimum capital requirements for market risk (commonly referred to as FRTB) were published, its P&L attribution tests remain a major issue for banks needing to implement it – both in the lack of clarity around it and the potential...
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Resilient Stress Testing Platforms: Top 4 Considerations

by admin 4 min read
“Bank of England May Toughen Stress Tests as Economy Rallies,” claimed the Bloomberg Business headline on 28 July. Deputy Governor Jon Cunliffe explained in a speech that the Bank of England’s approach would be to use stress testing more countercyclically: “Rather than testing every year against a scenario of...
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Percentile at CFP Stress Testing Europe 2015

by admin 1 min read
Interview For the Stress Testing Congress, 29th/30th September 2015, the Centre for Financial Professionals (CFP) interviewed Percentile’s CEO Anthony Pereira for insights on understanding regulatory requirements, improving resilience to change, using stress testing as an effective risk management tool, and how the role of the stress testing professional is...
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