Comparison process

Risk reports are based on end-of-day positions. This means that the risk figures give
the loss at the chosen confidence interval over the holding period for the portfolio that
is held at the end of that business day. With a 1-day holding period, the risk figure
should be compared with the P&L from the following business day. The P&L, if
unwanted components are removed, gives the change in value from market movements
of the portfolio the risk was measured for. Therefore, the risk figures and P&L figures
used for comparison must be skewed by 1 business day for meaningful backtesting.