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Market Risk
Market Risk
Medium
Under FRTB, a trading desk passes the backtesting requirement (3 exceptions in 250 days) but fails both the Spearman correlation and Kullback-Leibler divergence components of the P&L attribution test. The desk will most likely be required to:
A
Calculate market risk capital using the standardized approach
B
Continue using the internal models approach with a capital surcharge
C
Recalibrate the model and resubmit for approval within 30 days
D
Reduce all position sizes until the model passes the PLAT
Select an answer to continue
Tags
#frtb
#pnl-attribution
#internal-models-approach
#standardized-approach
#desk-level-approval
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FRM Part II — Market Risk Practice Question | AcadiFi | AcadiFi