Difference between revisions of "Portfolio PnL"
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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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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 | 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 | + | In the following we assume that the risk horizon is at time point <math>k=H</math> (usually 1yr). |
:<math> | :<math> | ||
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[[Category:Credit Network]] | [[Category:Credit Network]] | ||
+ | [[Category:Portfolio Management]] |
Latest revision as of 12:16, 10 June 2021
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 (usually 1yr).