Sensitivities

Martin Auer
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Martin Auer: Raiffeisen Bank International

Chapter 5 in Hands-On Value-at-Risk and Expected Shortfall, 2018, pp 27-31 from Springer

Abstract: Abstract The price of a position depends on the underlying assets or risk factors, and we express this price as the function p(S) of a scenario. A natural question to ask is how this price reacts to specific scenario changes. The particular price change resulting from a small change in only one of the underlying risk factors is called the sensitivity sensitivity of the position with regard to that risk factor.

Keywords: Interest Rate Risk Factor; Current Dollar Prices; Zero Bond; Market Risk Measurement; Zero Sensitivity (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/978-3-319-72320-4_5

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