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Quantitative Finance · Glossaire

Qu'est-ce que « Revaluation-based attribution » ?

Definition 27.2 Rates, Credit, XVA and Risk · Chapitre 27 — P&L Explain and Independent Price Verification

Revaluation-based attribution moves the risk factors from their start-of-day to their end-of-day values one at a time, revaluing in full after each, and assigns each step’s change to its factor. The steps add up to the P&L exactly; their split depends on the order.

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