FRTB - Fundamental Review of the Trading Book 

FRTB has a major impact on the way MARKET RISK is calculated and reported. The regulation touches the following areas starting from the trading floor.
A high level view of the trading floor, desk structure and key functions of the traders is illustrated below.

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One of the key requirement of FRTB is the separation of the Trading and Banking Books.

PnL attribution
PnL = Value of portfolio as of today - Value of Portfolio as of yesterday.
​PnL attribution gives you that information on what generated that PnL. It is done to factors. 100% of PnL is explained to the factors, whatever remains unattributed is assigned to "Unexplained". Sensitivities are computed to the factors which is used to predict the PnL.

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As part of the backtesting, actual pnl is compared to the hypothetical pnl calculated using the front office pricing models which contains more risk factors and is more precise. ​Risk models should closely track the actual performance vis backtesting and the PnL attribution test.
​Risk theoretical pnl for a desk is based on the firms risk management models and are not based on front office pricing models.