This is a perennial problem everyone with international operations faces - noise that eventually comes out in the wash.. A long time ago I shared a plane ride with an AIG higherup who told me they managed the problem by having a single profit centre. I didn’t see how that necessarily helped.
As a practical matter, one has to structure this work so as to not run afoul of their international tax minimization strategies. That might be the single biggest implicit consideration, and probably the real AIG single profit centre motivation, but is one not discussed in parlours without an apology, as Ralph Waldo Emmerson might have said.
The options for dealing with this issue include:
As already mentioned, revalue the book on the holiday using the previous day’s prices. This is probably the most common solution as it is probably the easiest. Decent trade reval systems should have this feature and in any event it is not difficult to effect.
Other strategies include:
Revalue the holiday date using the previous value date’s 1-business day ahead forward curves and surfaces.
Valuing inter-listed products on a secondary country exchange when the primary country exchange is closed and convert to reporting currency using spot FX. This is a slick solution that requires good business logic in systems.
Closing one’s eyes until the next good business day, then compute a 2-day P&L and split it in half for each day.
If one was really organized, one could internally transfer price their book holdings from a closed country markets to an open country, just as book management responsibilities can be transferred over holiday periods. The best and most complicated solution, all other things equal. But all other things are usually not equal.
For what it is worth, how much effort a regulated financial institution is expected to take to deal with this inconvenience is a function of its size. If your shop is small you have more degrees of freedom, just mull it over and decide what makes best sense for you. And never forget taxes.