1. Factor Sensitivity limits (PV01, FX Delta, EQ Delta, CSPV01, Vega etc)
PV01: PV sensitivity to 1bp change in interest rate.
FX Delta/EQ Delta: PV sensitivity to a unit change in underlying price. For plain vanillas, this is the notional. For options, it is change in premium wrt change in underlying px, so is not the same as notional.
CSPV01: PV sensitivity to a unit change in credit spread.
Vega: PV sensitivity to a 1% abs change in implied volatilities.
In addition to setting a total limit, senstivity limits can be set at tenor( to control risks arising from unparallel shift in term structure); currency (to control onshore/offshore basis in currency markets); product level.
2. Position limits
3. Loss Triggers
Stop loss limit.
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