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Trading desk P&L analysis: why does it makes losses?

Check "gamma vs theta" in PNL predict (Greek-based) Bid offer spreads in delta hedging. Transaction costs. Marks of the observed parameters, e.g correlations or mean reversion speed s if any....
achirikhin's user avatar
3 votes
Accepted

Trading desk P&L analysis: why does it makes losses?

Were the structured notes and their hedges meant to have zero P&L? An example of this not being true, the desk has large positive P&L when it sells a note to a client, then during the life of ...
Dimitri Vulis's user avatar
0 votes

Trading desk P&L analysis: why does it makes losses?

Derivative portfolios PnL is completely dependent on statistical properties of the underlying (and any other risk factor). If realized vol is higher than implied vol, the call deltahedge leaks money. ...
Arshdeep's user avatar
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2 votes

Trading desk P&L analysis: why does it makes losses?

I am not too familiar with the structured bonds, but even for option hedging, it is imperfect with the Greeks. Usually options that are issued with investment banks are hedged daily for the first-...
KaiSqDist's user avatar
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