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          • FRTB Standardised Approach for the Trading Book (SA-TB, BCBS 352)
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        FRTB Internal Models Approach for the Trading Book (IMA-TB, BCBS 352)

        • Slides
        • Excel
        Slides
        • IMA Overview
          • IMA Desk Approval
            • Approval Tests
            • Types of P&L metrics
            • Backtesting
            • P&L Attribution
            • P&L Attribution Desk Approval
          • IMCC Calculation
            • Stressed ES (SES) Calculation
              • Default Risk Charge (DRC) Calculation
                • Multiplication factor Mc
                  1. Slides
                  2. IMA Desk Approval
                    • IMA Overview
                    • IMA Desk Approval
                    • IMCC Calculation
                    • Stressed ES (SES) Calculation
                    • Default Risk Charge (DRC) Calculation
                    • Multiplication factor Mc

                  Approval Tests

                  In order to qualify for IMA, the desk should path both Backtesting and P&L Attribution tests1 .

                  • The Backtesting assessment is designed to identify whether a bank’s trading desk risk management model includes a sufficient number of the risk factors that drive the trading desk’s daily P&L.
                  • The P&L attribution assessment is designed to compare whether the observed percentage of outcomes covered by the risk measure is consistent with both a 97.5% and 99% level of confidence.
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