Why FRTB backtesting loves volatility, but hates hedges

Crucial P&L test for internal models easier to pass if price swings are large, or desks poorly hedged

Related Keywords

,Basel Committee On Banking Supervision ,Basel Committee ,Banking Supervision ,Basel Committee On Banking Supervision Bcbs ,Uropean Union Eu ,Kpmg ,Europe ,Frtb ,P Ampl Attribution Test ,Market Risk ,Capital Requirements ,Apital Requirements Directive Crd ,Trading Book ,Internal Models ,Standardised Approaches ,Edging ,Covid ,Russia Ukraine Conflict ,Volatility ,Proprietary Trading ,Kolmogorov Smirnov Test ,Ensitivities Based Approach Sba ,Regulation ,