Profit & loss (P&L)
Delving into the FASB's current expected credit loss model
The Financial Accounting Standards Board's current expected credit loss rule could mean loss provisions for loans are three times higher than with International Financial Reporting Standard 9
US banks see fewer daily trading losses than foreign units
IHCs suffered losses on 54% of trading days compared with 44% for US BHCs
Societe Generale defers €1.35 billion of trade profits
French dealer holds back far more than rival dealers
On the offensive – Seeking a new edge, buy-side invests in portfolio and risk analytics
A fast-moving, headstrong hedge fund – hit by rare losses after a black swan event touched on an overweight country exposure – ponders adding fresh quantitative expertise. Much to traders’ chagrin, the chief investment officer and chief operating officer…
European FRTB capital charges hang by a thread
EU Council mulls introducing only reporting requirements in CRR II, or a very low scalar
Validation of profit and loss attribution models for equity derivatives
The aim of this paper is to validate profit and loss attribution generated by daily movements of option prices as seen through their Black–Scholes (Black and Scholes 1973) and Merton (1973) implied volatilities.
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