Contributi al rischio di fattori generici definiti dall'utente

Approfondimenti - Gestione degli investimenti

Fra le priorità di trader e gestori di portafoglio figura l'analisi del rischio dei rispettivi profitti e perdite (PL) futuri. In linea generale, il PL può essere espresso come il prodotto di un vettore di fattori di rischio F per le relative esposizioni b, che rappresentano le variabili decisionali dell'operatore:

1. In teoria, l'approccio copre anche il caso del full repricing mediante l'aggiunta di derivate di ordine superiore nell'espansione di Taylor del PL.

2. TCiò non è vero per le

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