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What is P&L Attribution Methods in Finance about?

This thesis examines two methods for calculating profit and loss (P&L) attribution: the risk-based method and step re-evaluation method. The risk-based method uses trade sensitivities (Greeks) and actual market changes to predict P&L changes. The step re-evaluation method aggregates the impact of different valuation scenarios without fixed sensitivities. The paper aims to understand the theoretical differences between the methods and how they provide different perspectives for daily trader work. Empirical r

Author

Jeremy Allen

Language

EN