Difference between pages "Portfolio Loss Allowance" and "Portfolio PnL"
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Wiki admin (talk | contribs) (Created page with "== Definition == The portfolio loss allowance is the sum of individual credit asset loss allowances: :<math> \mbox{PLA}_{t,T} = \sum_{i}^{N} \left ( 1_{ \{ S_t^{i} = 1 \} }...") |
Wiki admin (talk | contribs) (Created page with "== Definition == The cumulative distribution of PnL for a credit book under IFRS 9 rules would be the sum of individual PnL changes from the current time to the risk horizon...") |
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== Definition == | == Definition == | ||
− | The | + | The cumulative distribution of PnL for a credit book under IFRS 9 rules would be the sum of individual PnL changes from the current time to the risk horizon |
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+ | In the following we assume that the risk horizon is at time point $k=H$ (usually 1yr). | ||
:<math> | :<math> | ||
− | \mbox{ | + | \mbox{PnL}^{P}_{H} = \sum_{i=1}^{N} \mbox{PnL}_{H}^{i} = \sum_{i=1}^{N} \Delta \mbox{LA}_{H,T_i}^{i} |
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</math> | </math> | ||
− | + | ---- | |
[[Category:Credit Network]] | [[Category:Credit Network]] |
Revision as of 20:26, 24 October 2018
Definition
The cumulative distribution of PnL for a credit book under IFRS 9 rules would be the sum of individual PnL changes from the current time to the risk horizon
In the following we assume that the risk horizon is at time point $k=H$ (usually 1yr).