PnL Attribution & Control
Explain the day's move: sensitivity PnL, the attribution bridge, the unexplained residual, and flash vs actual middle-office product control in numbers.
The scenario
You're in product control. Before the desk's PnL is signed off, you have to explain it decompose the day's move into delta, gamma, vega, theta and new trades, tie it back to the actual, and account for the residual. A bridge that doesn't tie out is a control failure.
Where this shows up
Daily PnL attribution (the 'PnL explain') and the flash-to-actual tie-out are core product-control tasks exactly the objective, numeric content an operations/MO assessment tests.
Firms such as Goldman Sachs, Morgan Stanley, JPMorgan.
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The drill
Compute each figure. 'Per $1 move' sensitivities multiply by the move; the bridge residual is actual minus the sum of explained components. Numeric answers are graded to a small tolerance.
Sample question
A position's delta is +500,000 (per $1 move in the underlying). The underlying moves +$0.40. What is the delta PnL, in dollars?
Included with the Trading Ops pack
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