Factors at Risk

The identi cation of scenarios which have a particularly low or high P&L helps to get a better understanding of the portfolio's risk exposure. Therefore, the notions of safe (resp. dangerous) regions are introduced, which represent sets where the P&L is greater (resp. less) than a given critical level. In order to describe such sets in an easily interpretable way, one{dimensional intervals are used. Such intervals can be determined by solving a sequence of restricted maximum loss problems.