When market risk is calculated, it gives the loss in value of a portfolio over a given
holding period with a given confidence level. This calculation assumes that the
composition of the portfolio does not change during the holding period. In practice,
in a trading portfolio, new trades will be carried out. Fees will be paid and received,
securities bought and sold at spreads below or above the mid-price, and provisions
may be made against possible losses. This means that P&L figures may include
several different contributions other than those related to market risk measurement.
To compare P&L with market risk in a meaningful way, there are two possibilities.
Actual P&L can be broken down so that (as near as possible) only contributions from
holding a position from one day to the next remain. This is known as cleaning the
P&L. Alternatively, the trading positions from one day can be revalued using prices
from the following day. This produces synthetic or hypothetical P&L. Regulators
recognize both these methods. If the P&L cleaning is effective, the clean figure should
be almost the same as the synthetic figure. The components of typical P&L figures,
and how to clean them, or calculate synthetic P&L are now discussed.
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