Volume 3 — Valuation and Risk Metrics © Copyright 2002, CCRO. All rights reserved. 6 in Section 1.1. An additional consideration, however, is change in value and risk due to a modification of the model itself. Over time models tend to be modified, in part because of advancements in modeling capabilities and available computational tools. The resulting change in the value and risk should be documented so that it can be clearly identified relative to changes due to market conditions. Whether or not external reporting of changes in economic/fair value is necessary will be driven by relevant accounting and disclosure rules. 1.3 Typical Outputs The following items are generally presented to understand and analyze the value of the activity within a company. These reports may be prepared both for internal management and external reporting. • Daily P&L • Net open position • Value of the Greeks • Explanatory reports of the change in value (i.e., curve shift, new deals, edits, currency, and for options, gamma, theta, rho, and vega). 1.4 Guidelines for Assigning Fair Value for Risk Measurement The Risk Management Disclosures White Paper contains some general guidelines, from the perspective of accounting and disclosure, regarding the periods for which companies may consider externally available pricing information to be sufficiently relevant and reliable to constitute “market years” for comparable reporting of risk and valuation measures (see Section III-3.3 in the Risk Management Disclosures White Paper). In addition, here are some general guidelines from an economic valuation perspective: Trading Activity For trading, transactions or portfolios of transactions will generally be marked-to-market over a period for which active, liquid markets exist. For the period beyond that in which MTM can be applied, the transactions will be marked-to-model. Structured Transactions In general, for companies engaged in trading and marketing activity, some structured transactions will be marked to model because of the assumptions and operational and other contractual constraints associated with the activity. Physical Assets Determining the fair value of the expected output from physical assets is a valuable risk management technique that facilitates identification, measurement, management/hedging, and reporting of the assets’ underlying exposures. Valuing the forecast output from physical assets such as power plants typically requires models that capture the asset’s operating characteristics. Thus, these asset outputs are generally marked-to-model. However, to the extent that they can