CEU Electronic Theses and Dissertations, 2020
| Author | Li, Shengxia |
|---|---|
| Title | Profit Attribute Analysis for Trading |
| Summary | Profit Attribute Analysis (PAA) is a crucial component and an effective control infrastructure of profit and loss (P&L) reporting regarding to trading desks. It forms a key to validate and explain revenues from trading desks and will be used in many control process including trade activity review, residue analysis and valuation control to independently evaluate the fair value of books and records. The purpose of Profit Attribute Analysis is to validate business-reported revenue against relevant risk sensitivities captured and monitored within each business. A better understanding of methodology behind and find an appropriate standard to control different risk sensitivities enables the Control Team to better manage their daily activities, and proper escalation of risk or booking errors to middle office, also help the market quantitative analysis team to build more accurate and efficient model capturing all the categories regarding different risks, challenge the front office discrepancies, most important, it will also help traders enhance their effectiveness of market hedges hence to justify their strategies. PAA is an important tool for controllers to independent review of the results from risk system, performs independence controls on P&L reporting, record and correct data error where root cause is identified by PAA. |
| Supervisor | Peter Szilagyi |
| Department | Economics MSc |
| Full text | https://www.etd.ceu.edu/2020/li_shengxia.pdf |
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