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Quantitative Finance · Glossary

What is Concentration limit?

Definition 7.2 The Desk and the Firm · Chapter 7 — Limits and Capital Allocation

A concentration limit caps an exposure to one name, issuer, sector, counterparty or instrument, or a position as a share of a market’s volume or open interest, whatever the diversification elsewhere: it limits what could not be sold or hedged quickly.

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