Risk Limits（风险限额）学习笔记

例如：一个养老金基金公司雇佣了一个投资经理去对资金做投资，为了防范风险，该基金公司设置了一些限制，即 Limits：

• Market Risk Limit：the portfolio’s duration always be less than 7 years 投资组合时间不能超过 7 年。
• Credit Risk Limit：all bonds have a credit rating of BBB or better 所投资的基金的评级不能低于 BBB。

A risk limit has three components: 风险限额包含三个部分

• a risk metric，例如 volatility 和 credit exposure
• a risk measure that supports the risk metric
• a bound—a value for the risk metric that is not to be breached.

示例：
A bank’s corporate lending department is authorized to lend to a specific counterparty subject to a credit exposure limit of GBP 10MM.
For this purpose, the bank measures credit exposure（此时的 risk metric 为 credit exposure） as the sum amount of outstanding loans and loan commitments to the counterparty.

Market Risk Limits

For monitoring market risk, many organizations segment portfolios in some manner. They may do so by trader and trading desk.

A hierarchy of market risk limits is typically specified to parallel such segmentation, with each segment of the portfolio having its own limits.
将组合分块，通过各自的 limits 计算整体的 market risk limits。

A hierarchy of market risk limits is illustrated for a hypothetical trading unit

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引用：
Risk Limits