Profit and Losses Attribution and Risk Management
摘要
We discuss how the financial industry in Mexico uses tools from applied mathematics for risk management. In particular, we focus on the so-called “profit and losses attribution”. We show how classical results, such as those by Taylor and Black-Scholes, are key to unpack the various components that determine the change in wealth. We work out some examples with Mexican bonds and discuss the intuition and usage of these tools in practice.