To generalize, then, for example to yield curves: This method calculates the value of a trade based on the current and the prior day's prices.
The formula for price impact using the revaluation method is for some small-value assets such as "loose tools".
[3] PnL unexplained is a critical metric that regulators and product control within a bank alike pay attention to.
Any residual P&L left unexplained (PnL unexplained) would be expected to be small if (1) the identified risk factors are indeed sufficient to materially explain the expected value change of the position and, if (2) the models used to calculate sensitivities to these risk factors are correct.
PnL unexplained is thus a metric that, when large, may highlight instances where the risk factors classified for a risky position are incomplete, or the models used for sensitivities calculations are incorrect or inconsistent.