Portfolio PnL

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).

${\mbox{PnL}}_{H}^{P}=\sum _{i=1}^{N}{\mbox{PnL}}_{H}^{i}=\sum _{i=1}^{N}\Delta {\mbox{LA}}_{H,T_{i}}^{i}$

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