"Actual daily P&L": The daily economic P&L based on the marking to market of the books and records of the bank excluding fees and commissions.
"Backtesting": The process of comparing daily profits and losses with model-generated risk measures to gauge the quality and accuracy of risk measurement systems.
"Basis risk": The risk that prices of financial instruments in a hedging strategy will move in a way that reduces the effectiveness of the hedging strategy.
"Benchmark (in the context of the relationship between the standardised approach and internal models-based approach)":
The use of capital charges under the standardised approach as a consistent metric of comparison of capital charges calculated using internal models-based approaches both across banks and through time.
"Component risk factor": An instrument is decomposed into individual component risk factors that are then mapped to a risk class
""Cross-cutting" risk factor": A risk factor that affects the valuation of a lar
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