Exact Trade-Level Attribution of FRTB-IMA Capital

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Highly relevant for institutional quantitative trading desks subject to FRTB regulations. It provides a rigorous method for attributing capital costs to individual trades, which is critical for P&L attribution, hedge optimization, and regulatory compliance. It moves beyond simple gradient approximations to handle the non-smooth nature of regulatory capital.

High complexity. Requires implementing the full FRTB-IMA capital calculation as a computational graph, handling non-smooth nodes (ES, quantiles, maxima) with specific local rules, and solving linear programming problems for tie realisability. Requires deep understanding of both regulatory formulas and numerical optimization.

The paper provides a pre-registered synthetic benchmark, detailed algorithmic steps (Algorithm 1), and theoretical proofs. It mentions SHA-256 verification of result files. However, it relies on synthetic data and specific implementation details (FRTBTrace engine) which may not be publicly open-source, though the methodology is fully described.