Risk Theoretical PnL under the FRTB

Risk Theoretical PnL One of the areas that is causing some concern and confusion is the idea of the Risk Theoretical PnL that is quite prominent in the FRTB regulatory paper from the BIS. The idea behind this is better alignment of risk models to front office pricing...

Risk Factor Mapping

Mapping a Position to a Risk factor So far we have assumed that each position in a portfolio is matched directly to an underlying risk factor (see Analytical VaR post). However in practice this may not be feasible or even desirable. The market practice is to map each...