Effective risk management requires adequate risk measurement. A basic problem herein is the quantification of market risks: what is the overall effect on a portfolio if market rates change? First, a mathematical problem statement is given and the concept of `Maximum Loss' (ML) is introduced as a...

Effective risk management requires adequate risk measurement. A basic problem herein is the quantification of market risks: what is the overall effect on a portfolio if market rates change? First, a mathematical problem statement is given and the concept of `Maximum Loss' (ML) is introduced as a...

For univariate functions, we compute optimal breakpoint systems subject to the condition that the piecewise linear approximation (or, under- and overestimator) never deviates more than a given δ-tolerance from the original function, over a given finite interval. The linear approximators, under-...