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Quantitative Finance · Glossário

O que é Hypothetical and risk-theoretical P&L?

Também chamado de: hypothetical P\&L · risk-theoretical P\&L

Definition 23.10 Rates, Credit, XVA and Risk · Capítulo 23 — Regulatory Capital for Trading Books

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.

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