损益归属：实证研究

IF 0.8 Q4 BUSINESS, FINANCE European Actuarial Journal Pub Date : 2024-05-24 DOI:10.1007/s13385-024-00380-w

Solveig Flaig, Gero Junike

{"title":"损益归属：实证研究","authors":"Solveig Flaig, Gero Junike","doi":"10.1007/s13385-024-00380-w","DOIUrl":null,"url":null,"abstract":"<p>The profit and loss (P &L) attribution for each business year into different risk factors (e.g., interest rates, credit spreads, foreign exchange rate etc.) is a regulatory requirement, e.g., under Solvency 2. Three different decomposition principles are prevalent: one-at-a-time (OAT), sequential updating (SU) and average sequential updating (ASU) decompositions. In this research, using financial market data from 2003 to 2022, we demonstrate that the OAT decomposition can generate significant unexplained P &L and that the SU decompositions depends significantly on the order or labeling of the risk factors. On the basis of an investment in a foreign stock, we further explain that the SU decomposition is not able to identify all relevant risk factors. This potentially effects the hedging strategy of the portfolio manager. In conclusion, we suggest to use the ASU decomposition in practice.</p>","PeriodicalId":44305,"journal":{"name":"European Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":0.8000,"publicationDate":"2024-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Profit and loss attribution: an empirical study\",\"authors\":\"Solveig Flaig, Gero Junike\",\"doi\":\"10.1007/s13385-024-00380-w\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>The profit and loss (P &L) attribution for each business year into different risk factors (e.g., interest rates, credit spreads, foreign exchange rate etc.) is a regulatory requirement, e.g., under Solvency 2. Three different decomposition principles are prevalent: one-at-a-time (OAT), sequential updating (SU) and average sequential updating (ASU) decompositions. In this research, using financial market data from 2003 to 2022, we demonstrate that the OAT decomposition can generate significant unexplained P &L and that the SU decompositions depends significantly on the order or labeling of the risk factors. On the basis of an investment in a foreign stock, we further explain that the SU decomposition is not able to identify all relevant risk factors. This potentially effects the hedging strategy of the portfolio manager. In conclusion, we suggest to use the ASU decomposition in practice.</p>\",\"PeriodicalId\":44305,\"journal\":{\"name\":\"European Actuarial Journal\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.8000,\"publicationDate\":\"2024-05-24\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"European Actuarial Journal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1007/s13385-024-00380-w\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"European Actuarial Journal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1007/s13385-024-00380-w","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

将每个业务年度的损益（P&L）归结为不同的风险因素（如利率、信用利差、汇率等）是偿付能力 2 等的监管要求。目前流行三种不同的分解原则：一次性分解（OAT）、顺序更新分解（SU）和平均顺序更新分解（ASU）。在这项研究中，我们利用 2003 年至 2022 年的金融市场数据证明，OAT 分解法会产生大量无法解释的 P &L 值，而 SU 分解法在很大程度上取决于风险因素的顺序或标记。在投资外国股票的基础上，我们进一步解释了 SU 分解无法识别所有相关风险因素。这可能会影响投资组合经理的对冲策略。总之，我们建议在实践中使用 ASU 分解法。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

摘要图片

查看原文

微信好友朋友圈 QQ好友复制链接

本刊更多论文

Profit and loss attribution: an empirical study

The profit and loss (P &L) attribution for each business year into different risk factors (e.g., interest rates, credit spreads, foreign exchange rate etc.) is a regulatory requirement, e.g., under Solvency 2. Three different decomposition principles are prevalent: one-at-a-time (OAT), sequential updating (SU) and average sequential updating (ASU) decompositions. In this research, using financial market data from 2003 to 2022, we demonstrate that the OAT decomposition can generate significant unexplained P &L and that the SU decompositions depends significantly on the order or labeling of the risk factors. On the basis of an investment in a foreign stock, we further explain that the SU decomposition is not able to identify all relevant risk factors. This potentially effects the hedging strategy of the portfolio manager. In conclusion, we suggest to use the ASU decomposition in practice.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

European Actuarial Journal BUSINESS, FINANCE-

CiteScore

2.30

自引率

8.30%

发文量

期刊介绍： Actuarial science and actuarial finance deal with the study, modeling and managing of insurance and related financial risks for which stochastic models and statistical methods are available. Topics include classical actuarial mathematics such as life and non-life insurance, pension funds, reinsurance, and also more recent areas of interest such as risk management, asset-and-liability management, solvency, catastrophe modeling, systematic changes in risk parameters, longevity, etc. EAJ is designed for the promotion and development of actuarial science and actuarial finance. For this, we publish original actuarial research papers, either theoretical or applied, with innovative applications, as well as case studies on the evaluation and implementation of new mathematical methods in insurance and actuarial finance. We also welcome survey papers on topics of recent interest in the field. EAJ is the successor of six national actuarial journals, and particularly focuses on links between actuarial theory and practice. In order to serve as a platform for this exchange, we also welcome discussions (typically from practitioners, with a length of 1-3 pages) on published papers that highlight the application aspects of the discussed paper. Such discussions can also suggest modifications of the studied problem which are of particular interest to actuarial practice. Thus, they can serve as motivation for further studies.Finally, EAJ now also publishes ‘Letters’, which are short papers (up to 5 pages) that have academic and/or practical relevance and consist of e.g. an interesting idea, insight, clarification or observation of a cross-connection that deserves publication, but is shorter than a usual research article. A detailed description or proposition of a new relevant research question, short but curious mathematical results that deserve the attention of the actuarial community as well as novel applications of mathematical and actuarial concepts are equally welcome. Letter submissions will be reviewed within 6 weeks, so that they provide an opportunity to get good and pertinent ideas published quickly, while the same refereeing standards as for other submissions apply. Both academics and practitioners are encouraged to contribute to this new format. Authors are invited to submit their papers online via http://euaj.edmgr.com.