# Tag Info

Accepted

• 356

### Structured Trade / Hedge consistency

I'll try to give some views on this, I hope it helps bringing some closure to your question. You seem to relate consensus to "theoretical prices". I think this is a bit misleading. I view ...
• 7,091
Accepted

### compute Expected Shortfall / Conditional VaR from distribution

Generally, VaR and ES can been seen from two different points of view: $R_t$ are portfolio returns. Then VaR is left quantile (e.g. 0.05) and ES is expected return below this quantile. $L_t = -R_t$ ...
• 194
1 vote

### Using Taylor formula with logarithmic returns

Assuming your are modeling a product that is not linear in the underlying risk factor (not the FX rate per se), and assuming you are using logarithmic FX returns, you may arrive at the following: Let \$...
• 5,333
1 vote

### How to determine what's driving the VaR?

VaR is a loss function calculated from what's available in step 1, whose value is a magnitude, and whose sign indicates whether there is a portfolio loss, or a negative loss (which is actually a gain, ...
• 2,815
1 vote

### Historical PNL using Taylor Expansion for Gamma Ladders

By definition, a Taylor expansion is a local approximation, so you shouldn't use using it for large moves. Also you always have for options a 'gamma ladder', as gamma is a function of the underlying. ...
1 vote
Accepted

### realized/unrealized PnL with leverage

PnL = Profit - Funding Costs PnL = (Exit - Entry) - (50 * Capital - Capital) * Funding Rate % Gain = PnL / Capital Capital is how much you are investing (inclusive of margin). Your funding costs is ...
• 5,010
1 vote

### realized/unrealized PnL with multiplier

There is no need to use the following confusing formula: PNL = quantity * multiplier * (1 / Entry Price - 1 / Exit Price) For all asset classes the following ...
• 145
1 vote

### What is "swimming delta" as a risk attribute in pnl explain?

"Swimming delta" is another name for "floating delta" (as opposed to sticky delta). books.google.com/books?id=LnLgAgAAQBAJ&pg=PA170 Glen Swindle's excellent book "Valuation and Risk Management in ...
• 9,219

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