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Quantitative Finance · Glossaire

Qu'est-ce que « Hard limit, soft limit, limit utilisation, limit breach » ?

Aussi appelé : hard limit · soft limit · limit utilisation · limit breach

Definition 7.4 The Desk and the Firm · Chapitre 7 — Limits and Capital Allocation

A hard limit is a limit that must not be exceeded: an excess must be cured at once, by reducing the exposure, or escalated for an approved increase. A soft limit is a lower threshold whose crossing triggers a warning and a review, not a mandatory action. Limit utilisation is the exposure as a share of the limit. A limit breach is an exposure above a hard limit, recorded with its size, duration and resolution.

The vol-selling strategy’s daily VaR through a volatility spike, against its soft limit and its hard limit, raised temporarily from 8 to 12 for days 25 to 40. Illustrative path; model fm_limits.var_path.
Figure 7.2. The vol-selling strategy’s daily VaR through a volatility spike, against its soft limit and its hard limit, raised temporarily from 8 to 12 for days 25 to 40. Illustrative path; model fm_limits.var_path.
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