The hypothetical P&L (HPL) of a desk is the daily change in the value of yesterday’s positions computed by the bank’s pricing systems with today’s market data. The risk-theoretical P&L (RTPL) is the same change computed by the risk model, from its own risk factors and its own revaluation.
Quantitative Finance · Begrippenlijst
Wat is Hypothetical and risk-theoretical P&L?
Ook bekend als: hypothetical P\&L · risk-theoretical P\&L