P&L attribution test

Definition

P&L attribution test in plain English

A desk can have a statistically adequate risk model yet fail if modeled factors do not explain actual desk economics. Persistent attribution failure can force the desk onto the standardized approach.

Related FRM Part 2 terms

• Accuracy ratio (AR)
• Annualized loss expectancy (ALE)
• Available and Required Stable Funding (ASF/RSF)
• AT1 (Additional Tier 1)
• Backfill bias
• Basel traffic-light test
• Basis risk (IRRBB)
• Basel Committee Risk Data Principles (BCBS 239)
• Bow-tie analysis
• Breadth (BR)