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Quantitative Finance · Begrippenlijst

Wat is Limit framework?

Definition 7.1 The Desk and the Firm · Hoofdstuk 7 — Limits and Capital Allocation

A firm’s limit framework is the set of its risk limits and the rules that relate them: the tree of levels (firm, business, desk, strategy, trader) at which limits are set, the measures limited at each level, how a level’s limits constrain those below it, who may set, change and temporarily raise each limit, and what happens when one is breached.

A limit framework as a tree: the firm’s appetite is cascaded to desks and strategies, each level limiting the measures that fit its risks. Model: firm.limitalloc.Node, check.
Figure 7.1. A limit framework as a tree: the firm’s appetite is cascaded to desks and strategies, each level limiting the measures that fit its risks. Model: firm.limitalloc.Node, check.
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