Portfolio risk
Review exposures together, test adverse conditions and keep a record of decisions.
Measure the whole portfolio
Review issuers, sectors, currencies and common risk factors across accounts. Include derivatives, financing and obligations. Volatility, Value-at-Risk and expected shortfall answer different questions; each depends on its assumptions and observation window.
Use scenarios to assess changes in rates, credit conditions and liquidity. Review collateral and the ability to exit positions. Statistical estimates do not set a maximum possible loss.
Concentration across holdings
A direct holding can overlap with the same issuer inside a fund. Combining exposures reveals dependencies that a list of separate accounts or instruments can hide.
The example adds a direct position to the share held through an ETF. It assumes a portfolio without leverage. In practice, holdings dates, fund look-through data and derivative exposures need separate checks.
The same company held directly and through an ETF.
10% + 20% × 5% = 11%. The rest of the portfolio does not hold this company. Leverage and derivatives are excluded.
Document limits and decisions
Record the data date, measurement, applicable limit, observation and response. Assign the review, record its deadline and preserve the earlier versions. A limit breach is a trigger for assessment; the response depends on the mandate and conditions.
For an ASI or other investment structure, responsibilities and required documentation depend on the applicable legal framework. This example illustrates a process; it does not establish regulatory compliance.
- Data
- Measurement
- Limit review
- Decision
- Record
- Data date
- 31 Aug 2026 · illustrative
- Exposure
- One issuer · 11% of portfolio
- Internal limit
- 10% · example assumption
- Observation
- 1 percentage point above limit
- Decision
- Request exposure and liquidity review
- Review record
- Version 1 · open · due 1 Sep 2026
A documentation example, not client data or a recommended limit. Each review adds its date, author and rationale while retaining the earlier version.