Difference between revisions of "Portfolio PnL"

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 $k=H$ (usually 1yr).

\mbox{PnL}^{P}_{H} = \sum_{i=1}^{N} \mbox{PnL}_{H}^{i} = \sum_{i=1}^{N} \Delta \mbox{LA}_{H,T_i}^{i}

@@ Line 2: / Line 2: @@
 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).
+In the following we assume that the risk horizon is at time point <math>k=H</math> (usually 1yr).
 :<math>
@@ Line 10: / Line 10: @@
 ----
 [[Category:Credit Network]]
+[[Category:Portfolio Management]]