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P&L Attribution

Senior Quant · Risk & Model Critique

Question

Define delta-gamma-vega P&L attribution. If your book has Δ=100\Delta = 100, Γ=5\Gamma = 5, V=200\mathcal{V} = 200, and you observe δS=−0.5\delta S = -0.5 and δσ=0.002\delta\sigma = 0.002 on a given day, compute the attributed P&L components. What does the unexplained P&L (P&L residual) tell the risk manager?
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