White Paper - Mark to Market P&L Analysis
Calypso Risk and P&L Product Manager Fabrice Thomas provides an overview of Calypso’s P&L methodology
Because there are so many dimensions to measuring P&L, identifying the specific sources of gains or losses for large trading books can be quite challenging. This brief reference paper provides insight into how Calypso computes both MTM values and P&L for all asset classes. Our approach is compliant with the Volcker Rule as well as Dodd-Frank, and provides front and middle office personnel with the insights they need to make informed decisions in real-time.