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AbhinavBajpai
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Posts: 5
Joined: December 18th, 2016, 7:12 am

FRTB Regulation - Resources for IMA

March 20th, 2017, 6:58 am

I am going through the new FRTB regulations and need to understand  the Internal Modeling Approach (IMA). Are there any good research papers/books/Videos that can explain the Expected Shortfall calculations, P&L attribution test and Backtesting with a case study approach (using some actual data)? Please suggest. 
 
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rmax
Posts: 374
Joined: December 8th, 2005, 9:31 am

Re: FRTB Regulation - Resources for IMA

March 24th, 2017, 12:08 pm

I am going through the new FRTB regulations and need to understand  the Internal Modeling Approach (IMA). Are there any good research papers/books/Videos that can explain the Expected Shortfall calculations, P&L attribution test and Backtesting with a case study approach (using some actual data)? Please suggest. 
I don't know of anything specific as ES is basically a VAR calc where you average the tail rather than take the 99 percentile point. I thought the Basel paper covered that.
 
AbhinavBajpai
Topic Author
Posts: 5
Joined: December 18th, 2016, 7:12 am

Re: FRTB Regulation - Resources for IMA

March 24th, 2017, 12:32 pm

The Basel does cover the ES part and I understand the ES calculations. I am unable to understand the ES scaling formula . Hull , 4th Edition (Chapter 17) does provide an example but it is not an elaborated one and therefore I was looking for more resources which can explain this easily.

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rrao4
Posts: 14
Joined: May 3rd, 2017, 1:14 am

Re: FRTB Regulation - Resources for IMA

November 21st, 2017, 4:24 pm

There were some concerns about the backtesting of ES approach,