École Nationale Supérieure de
Techniques Avancées

Abstract

pecific effects which explain the gain or the loss regarding the market features of the portfolio. After presenting the performance attribution for bonds, we will apply this methodology to different derivatives. The goal is to use the same decomposition for all the instruments in order to calculate a general performance attribution for any investment portfolio. In addition, as we generate performance attribution report each trimester, we will show the prototype created to check and validate the results. The second part of this report will introduce the contingent convertibles. A research study will enable us to understand this instrument and lead to a close formula under some assumptions. We finally present the main work done on contingent convertibles which is a validation of an implemented pricer. The model validation aims to understand how the pricer works and to challenge the prices.