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).

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

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