Profit & loss (P&L)
The profit-and-loss attribution test
In this paper, the authors analyze the failure probabilities of the profit-and-loss attribution (PLA) test as defined in the final market risk standard published in January 2016 by the Basel Committee on Banking Supervision.
Applied risk management series: gas storage valuation strategies
A look at the valuation of gas storage facilities and show how a deeper analysis of the value formation can offer insights for P&L optimisation and risk management
Adjusting to the P&L attribution test in FRTB
Consultants offer tips on eligibility framework for new internal models approach
P&L test in FRTB may not work – research
Delays in approval and small data sets may doom internal model approach, research finds
Research finds ways to tame FRTB’s biases in forex charges
New paper shows ways to reduce influence of reporting currency
P&L attribution for energy portfolios with non-linear exposures
Carlos Blanco and Alessandro Mauro explain how non-linear P&L attribution tools can improve a company’s business intelligence capabilities
Organising the allocation
Yadong Li, Marco Naldi, Jeffrey Nisen and Yixi Shi propose a new capital allocation method
A profit and loss attribution framework for physical and financial energy portfolios
A P&L attribution framework can improve the information available to energy traders